Secure multi-server stabilized data packet exchange systems

ABSTRACT

The SECURE MULTI-SERVER STABILIZED DATA PACKET EXCHANGE SYSTEMS (IRFI) provide efficient, secure data communication for data communication and exchange servers. The IRFI provides increased data exchange system security and efficiency for time-rate based data package communicators. The IRFI can use artificial neural networks that include three or more layers, with at least one input layer, a hidden layer and an output layer. The IRFI can obtain listing data relating to a data package, obtain characteristic parameters associated with the data package, determine a BP metric for the data package, calculate an exposure offset value based on the BP metric for the data package, receive evaluation data from an data packet exchange system, including a SY metric and a DV metric, calculate a delivery metric for the data package based on the evaluation data, and facilitate a communication of the delivery metric.

This application is a continuation of U.S. patent application Ser. No.15/409,203, filed Jan. 18, 2017, which claims priority to and benefit ofU.S. provisional patent application No. 62/415,311, filed Oct. 31, 2016.U.S. patent application Ser. No. 15/409,203 is a continuation-in-part ofU.S. patent application Ser. No. 14/830,555 filed Aug. 19, 2015, nowU.S. Pat. No. 10,565,647, which claims priority to and benefit of U.S.provisional patent application No. 62/039,393, filed Aug. 19, 2014. Theentire contents of each aforementioned application are expresslyincorporated by reference herein for all purposes.

This application for letters patent discloses and describes variousnovel innovations and inventive aspects of SECURE MULTI-SERVERSTABILIZED DATA PACKET EXCHANGE SYSTEMS and related technologies(hereinafter collectively “IRFI”) and contains material that is subjectto copyright, mask work, and/or other intellectual property protection.The owner of such intellectual property has no objection to thefacsimile reproduction of the disclosure by anyone as it appears inpublished Patent Office file/records, but otherwise reserves all rights.

FIELD

The present innovations generally address apparatuses, methods, andsystems for data and database management, and data packet generation andcommunication, exchange, and oversight, and more particularly, includeSECURE MULTI-SERVER STABILIZED DATA PACKET EXCHANGE SYSTEMS.

BACKGROUND

A variety of data protection, data authentication and data security areavailable. Encryption is a process of encoding messages or informationin such a way that only authorized parties can access it. Maintainingdata security is important to a variety of industries.

SUMMARY

This disclosure relates to apparatuses, methods, and systems for securemulti-server stabilized data packet exchange, including securing andvalidating multi-server electronic communications and data exchangesover a plurality of networks. In one embodiment, the disclosure providesa method for enhanced communication system security and increasedprocessor efficiency across a multi-server data exchange system thatprovides validated IBI communications and data exchanges, comprisinginstantiating a data exchanger on a first computer server and receivingan encrypted identifier of a data packet at the first computer serverover a secure communication network from a second computer server, theencrypted identifier having been encrypted at the second computerserver. Then the first computer server decrypts the encrypted identifierto determine a plurality of data packet parameters associated with thedata packet, and securely receives a specified data packet quantitystring from the second computer server, he specified data packetquantity string being associated with a BP value of the data packet.Then, an offset value is calculated (e.g., via an artificial neuralnetwork) based on the BP value of the data packet and the specified datapacket quantity string to correspond to an EV in a data exchange. Thefirst computer server receives a PV string over a secure network from afurther (e.g., third) computer server associated with a data exchangesystem, the PV string having a SY value and a DP value. A DQ iscalculated for the data packet (e.g., via artificial neural network)based on the received PV string. Then, a secure exchange of the DQ isenabled/facilitated, the data packet exchanged based on FE units or DVof a BP without a fixed NV such that actual quantity of a data packetexchanged corresponds to the FE units. In some embodiments, thedisclosure provides for a non-transitory medium storingcomputer-readable and executable instructions to perform the disclosedmethods.

According to some embodiments of the disclosure, a secure,high-efficiency multi-server data packet communication, exchange, andvalidation apparatus is provided, the apparatus comprising: a pluralityof processors; a calculator subcomponent including an artificial neuralnetwork, the artificial neural network having at least three layers, theat least three layers including at least one input layer configured toreceive one or more data packet indicia, a hidden layer configured tomap the one or more data packet indicia received through the input layervia one or more nonlinear functions, and an output layer; and a memoryin communication with the plurality of processors and calculatorsubcomponent, the memory storing processor-readable instructions, theprocessor-readable instructions being executable to: instantiate a dataexchange platform; receive an encrypted secure data packet selection;decrypting the encrypted secure data packet selection, the decryptedsecure data packet selection including a plurality of data packetparameters; receive a data packet exchange quantity string associatedwith a data packet BP metric; calculate, via the calculatorsubcomponent, an offset metric based on the data packet BP metric andthe data packet quantity string to correspond to an EV in a dataexchange; receive a PV string from a data exchange system the PV stringincluding a SY metric and DP metric; calculate via the calculatorsubcomponent, a data packet DQ based on the PV string; and execute asecure exchange of the DQ.

According to some embodiments of the disclosure, a secure,high-efficiency multi-server data packet communication, validation, andexchange apparatus, is provided, the apparatus comprising: a pluralityof processors; a memory in communication with the plurality ofprocessors and storing processor-readable instructions, theprocessor-readable instructions being executable by the plurality ofprocessors to: instantiate a data exchange platform; receive a securedata packet selection the secure data packet selection including aplurality of data packet parameters; receive a data packet quantitystring to exchange associated with a data packet BP metric; calculate anoffset metric based on the data packet BP metric and the data packetquantity string to correspond to an EV in a data exchange; receive a PVstring from a data exchange system the PV string including a SY metricand DP metric; calculate a data packet DQ based on the PV string; andexecute a secure exchange of the DQ.

BRIEF DESCRIPTION OF THE DRAWINGS

The accompanying appendices, drawings, figures, images, etc. illustratevarious example, non-limiting, inventive aspects, embodiments, andfeatures (“e.g.,” or “example(s)”) in accordance with the presentdisclosure:

FIG. 1A is a flowchart illustrating an embodiment of disclosure.

FIG. 1B is a flowchart illustrating development of IRFI data packets inaccordance with some embodiments of IRFI.

FIG. 2 provides an example logic flow illustrating aspects of a tradingstrategy including IRFI data packages, according to one embodiment ofthe IRFI.

FIG. 3 provides an example logic flow illustrating aspects of expirationand settlement process of IRFI data packets/packages, according to oneembodiment of the IRFI.

FIGS. 4A and 4B provide a block diagram illustrating a numeric exampleof IRFI using IRFI data packages to trade an option, according to anembodiment.

FIG. 5 is an example display screen of the application or platform ofthe IRFI in accordance with some embodiments.

FIG. 6A is a plot illustrating price vs yield for a conventional bond.

FIG. 6B is a plot illustrating DV01 of the bond disclosed in FIG. 6A vsDV01 as determined by the IRFI in accordance with some embodiments.

FIG. 7 shows a block diagram illustrating example aspects of an IRFIcontroller;

FIG. 8 is a schematic diagram illustrating data flows between IRFIcomponents and associated entities for an embodiment of the IRFI; and

FIG. 9 illustrates aspects of IRFI system architecture in block-diagramform and data flow between and among various IRFI system components foroperation of one embodiment of the IRFI.

FIG. 10 illustrates multi-curve benchmark rates for some embodiments ofthe IRFI.

The leading number of each reference number within the drawingstypically indicates the figure in which that reference number isintroduced and/or detailed. As such, a detailed discussion of referencenumber 101 would typically be found and/or introduced in FIG. 1.Reference number 201 is introduced in FIG. 2, etc.

DETAILED DESCRIPTION

The SECURE MULTI-SERVER STABILIZED DATA PACKET EXCHANGE SYSTEMStechnology (hereinafter collectively “IRFI”) provides a secure,efficient platform to construct and manage data packets or datapackages. According to some embodiments of the disclosure, a secure,high-efficiency multi-server data packet communication, exchange, andvalidation apparatus is provided, the apparatus comprising: a pluralityof processors; a calculator subcomponent including an artificial neuralnetwork, the artificial neural network having at least three layers, theat least three layers including at least one input layer configured toreceive one or more data packet indicia, a hidden layer configured tomap the one or more data packet indicia received through the input layervia one or more nonlinear functions, and an output layer; and a memoryin communication with the plurality of processors and calculatorsubcomponent, the memory storing processor-readable instructions, theprocessor-readable instructions being executable to: instantiate a dataexchange platform; receive an encrypted secure data packet selection;decrypting the encrypted secure data packet selection, the decryptedsecure data packet selection including a plurality of data packetparameters; receive a data packet exchange quantity string associatedwith a data packet BP metric; calculate, via the calculatorsubcomponent, an offset metric based on the data packet BP metric andthe data packet quantity string to correspond to an EV in a dataexchange; receive a PV string from a data exchange system the PV stringincluding a SY metric and DP metric; calculate via the calculatorsubcomponent, a data packet DQ based on the PV string; and execute asecure exchange of the DQ.

According to some embodiments of the disclosure, a secure,high-efficiency multi-server data packet communication, validation, andexchange apparatus, is provided, the apparatus comprising: a pluralityof processors; a memory in communication with the plurality ofprocessors and storing processor-readable instructions, theprocessor-readable instructions being executable by the plurality ofprocessors to: instantiate a data exchange platform; receive a securedata packet selection the secure data packet selection including aplurality of data packet parameters; receive a data packet quantitystring to exchange associated with a data packet BP metric; calculate anoffset metric based on the data packet BP metric and the data packetquantity string to correspond to an EV in a data exchange; receive a PVstring from a data exchange system the PV string including a SY metricand DP metric; calculate a data packet DQ based on the PV string; andexecute a secure exchange of the DQ.

In some embodiment of the disclosure, method for enhanced communicationsystem security and increased processor efficiency across a multi-serverdata exchange system that provides validated IBI communications and dataexchanges is provided. For example, as illustrated in FIG. 1A, one suchmethod comprises instantiating a data exchanger on a first computerserver and receiving an encrypted identifier of a data packet (07) atthe first computer server over a secure communication network from asecond computer server, the encrypted identifier having been encryptedat the second computer server. Then the first computer server decryptsthe encrypted identifier (09) to determine a plurality of data packetparameters associated with the data packet, and securely receives aspecified data packet quantity string (11) from the second computerserver, the specified data packet quantity string being associated witha BP value of the data packet. Then, an offset value is calculated (13)(e.g., via an artificial neural network) based on the BP value of thedata packet and the specified data packet quantity string to correspondto an EV in a data exchange. The first computer server receives a PVstring (15) over a secure network from a further (e.g., third) computerserver associated with a data exchange system, the PV string having a SYvalue and a DP value. A DQ is calculated (17) for the data packet (e.g.,via artificial neural network) based on the received PV string. Then, asecure exchange of the DQ (19) is enabled/facilitated, the data packetexchanged based on FE units or DV of a BP without a fixed NV such thatactual quantity of a data packet exchanged corresponds to the FE units.In some embodiments, the disclosure provides for a non-transitory mediumstoring computer-readable and executable instructions to perform thedisclosed methods.

To facilitate understanding, data packets and data packages arediscussed in particular embodiments and implementations. While notlimited to any particular disclosed embodiment, the disclosure addressesdata packages that represent time-based exposure data packages thatcomply with IAS 32 and 39, such as IRFI interest rate based risk futurecontracts, that are communicated and exchanged (e.g., traded), and wherethe quantity delivered is uniquely determined by a exposure value (e.g.,risk value) at settlement of the underlier (e.g., underlying bond orswap), instead of a fixed notional value. In some embodiments, the IRFIutilizes an artificial neural network that includes three or morelayers, with at least one input layer, a hidden layer and an outputlayer. The IRFI also facilitates efficient transactions. Thisapplication is a continuation-in-part of U.S. patent application Ser.No. 14/830,555, filed Aug. 19, 2015, which in turn claims the benefit ofU.S. Provisional Patent Application No. 62/039,393, filed Aug. 19, 2014;the entire contents of the aforementioned applications are expresslyincorporated by reference herein in their entirety for all purposes.This application also claims priority to and the benefit of U.S.Provisional Application No. 62/415,311, entitled “Secure Multi-ServerStabilized Data Packet Exchange Systems,” filed Oct. 31, 2016, thedisclosure of which is incorporated herein by reference in its entirety.

The Financial Reform Act has allowed standardized Interest Rate Swaps tobe traded and transacted on an exchange or on a Swap Execution Facility(SEF). Either format can be utilized for these inventions. The IRFI datapackage set has the capability to be traded on current existinginfrastructure in rate without the need to set a notional value orcoupon.

In one implementation, the IRFI provides data package or data packetthan can embody or represent a financial instrument in a format similarto an interest rate risk or interest rate exposure future, which allowsfor data packages (e.g., contracts) to trade in round units of forwardrisk or forward exposure (herein “risk unit size”), or Dollar Value ofan 01 (DV01). The quantity delivered may be uniquely determined by theexposure value at expiration of the underlier (e.g., underlying bond orswap), instead of a fixed notional value. Round standardized units ofexposure can make the data package efficient to use for offsetting,executing curve trades or spreading versus cash data packages. Theexposure management of such IRFI data packages can be transparent andthus provide value to the systems in which they are exchanged, as wellas the regulators/controllers of those systems. In this way, forexample, relationships in futures can be quoted in yield terms and OTCmarket conventions, rather than complex basis ratios or dollar spreads.For example, initially the IRFI data packages may include swap interestrate based data packages, and/or treasury interest rate based datapackages.

For example, all listed futures contracts can specify an amount of theunderlying product traded, e.g., wheat trades in bushels, gold trades inoz and bonds trade in notional value. The IRFI contract allows tradingin rates data packages without trading a specific or pre-determinednotional size. By transacting units of forward exposure or dollar valueof a basis point or risk unit sizes without specifying a fixed quantity,rates data packages can be traded and/or be quoted in yield utilizingexisting futures infrastructure while maintaining the true economics andconvexity of the underlying cash or over the counter (OTC) markets. Inthis way, the IRFI contact can avoid the convexity dilemma as the tradesdo not need a fixed quantity. The IRFI contract allows option strikeprices to be quoted in yield. While Eurodollars and options share thisquoting methodology, they may suffer from a convexity issue as the tickvalue and quantity are both held constant. Other products that assign acoupon are forced to in prices and these prices could have littleresemblance to the underlying market at expiration. Thus newer productswould require additional support and infrastructure.

In another example, the round exposure units per basis point allowsimplified offsetting and exposure management. Since the contracts arebased in exposure per basis point, the value at exposure, is preciselythe volatility in basis points multiplied by the number of contractstimes the exposure unit ($100). These round units make profit and losscalculations more straightforward and more transparent.

In another example, settlement can be determined by the correspondingTreasury Auction, instead of the price of the futures traded. In thisway, the IRFI may force full convergence to the Treasury Market,eliminating manipulation and will support and enhance liquidity andtransparency of the Treasury Market.

In another example, by quoting data packages in yield, relationships orspreads can be quoted in simple yield differentials. Currently cash andfutures are quoted in price spreads using awkward hedge ratios while theunderlying markets are all yield quotes. For example, current listedfutures products have different quoting conventions and tic valuesmaking spread exchange complex. A simple curve trade in the OTC market 2yr-10 yr would be quoted in yield however the equivalent in treasurybasket futures requires executing a fixed dollar spread. Since the ticvalues of the contracts differ and the weightings are often awkward, onemust wait for prices to align in order to achieve the desiredtheoretical forward yield spread. The IRFI spreads are round simpleratios and allow for straightforward execution of yield curve trades.

In further examples, the IRFI can provide a exchange structure withincreasing transparency and liquidity in the marketplace simplifiedsettlement and increased liquidity in options with longer expirations.

For example, the $600 Trillion OTC Derivatives Market may be influencedby the implementation of the Dodd-Frank financial reform bill, and suchregulations is a mandate for exchange standardized Swaps to take placeon exchanges or on SEFs. For smaller firms, implementation of exchangemay suffer due to a lack of infrastructure and reluctance to spendlimited technology budgets on various unproven SEF platforms. Inaddition, increased capital requirements for banks may further add tocosts. The Listed Futures Market has an existing infrastructure and mayprovide an efficient exchange platform for centrally cleared OTCderivatives, but the existing product set is complex and embedded withhidden convexity exposures. In one implementation, the IRFI may providea cost effective format for generating, trading, and/or managing forwardrates and long term options.

In one implementation, swap and bond convexity pose a hurdle to creatinga successful listed futures product. For example, as bond prices movehigher, the sensitivity to changes in yields increase; and as bondprices move lower, the sensitivity decreases. Settlement systems may notbe dynamic and often may only handle products traded in price or a fixedtick value for products traded in yield. Eurodollars futures may be anexample of holding the tick value constant. The application ofEurodollars futures can be limited. Once contracts have expirations overone or two years, the lack of discounting makes offsetting extremelytedious and liquidity suffers. Thus, a 10 year swap may require fortycontracts executed simultaneously at different prices and in decreasingquantities to adjust for the lack of convexity.

Other workarounds could have designated a fixed coupon. The problem witha fixed coupon is that as rates fluctuate the “couponed security's”market prices do not resemble the underlying OTC product that they aretrying to replicate, making trading options even more difficult.

In another example, the IRFI data packages are easy to price. Forexample, data packages such as basket options require complex models andmassive convexity adjustment since the underliers may sometimes change.Most models must consider the level of rates, shape of the curve, andrepo financing to simultaneously price all issues in the basket. TheIRFI can eliminate this hedging adjustment since the forward exposure isconstant when exchanging outrights or IRFI spreads. Thus price can beexpressed simply as 100-yield making calculations simple,straightforward, and computationally less expensive.

In another example, IRFI data packages can ensure certainty in delivery.Delivery of IRFI data packages can be based on existing benchmarks andinfrastructure. Currently, delivery of contracts is uncertain sinceCheapest to Deliver (CTD) bonds could change and duration of thecontracts could move by years. Further, massive tails could createoutright risks. In addition, early deliveries tend to be disruptive andbonds must be placed in safekeeping for delivery. The elegant andstraightforward methodology utilized by IRFI ensures that there is nochange in duration of contracts, no early deliveries and no tail riskinvolved. The IRFI can also eliminate the need for safekeeping.

In further examples, the IRFI allows for easy hedging and optiontrading. Since data packages are quoted in logical yields instead ofdollar prices, IRFI contracts such as options can trade way out in thefuture and the break evens can be calculated easily.

The IRFI may allow multiple standardized forward expirations on liquidbenchmark tenors to be traded on treasury bonds prior to a coupon beingdetermined. The yield points for benchmark tenors such as 2 year, 5year, 7 year, 10 year, and 30 year can be interpolated via bootstrappingor other models to create a smooth risk free Treasury forward curve.Thus, the IRFI may provide an alternative to unstable reference ratessuch as LIBOR. Additionally, the risk free Treasury forward curve mayeliminate the need to assume coupons therefore eliminating cancellationsor corrections which often creates settlement risks and confusion on theFED Wire Settlement System.

For example, if the yield was believed to be 2% then the price of theIRFI contract would simply be 98.00. If the exposure on a ten year IRFIcontract is set at $100 then every tick is a $100 in profit or loss.

In one implementation, the IRFI can provide better Exchange-Traded Funds(ETFs). For example, 20+ Year Treasury Bond (TLT) is a basket of bondsthat could include proxy issues and surrogates. These bonds havedifferent coupons, different floating supply, and different maturities.The holdings are in percentage terms and must be weightedproportionately. TLT are interpolated from the benchmark rates and amodel is used to determine the curve. However, the IRFI can allowfutures based on liquid single points on the curve rather than on theunderlying cost of TLT. Thus, IRFI may eliminate multipleinterpolations.

In one implementation, the IRFI can offer financial instruments andinfrastructure to trade treasuries several months and/or years inadvance. Treasuries are traded in spot market or briefly during WIperiod (e.g., from announcement to auction). The IRFI can go beyondinferences from a spot market with poor illiquid financing to produce atrue forward tradeable point in the curve.

In one implementation, the IRFI constructs an innovative product suiteoffering end users true OTC economics utilizing an existinginfrastructure of a trading firm. The IRFI data package may include afixed income futures data package set that improves the convexitysituation, which enables rates products to be traded in yield overexisting futures infrastructure while maintaining the true economics ofthe underlying OTC market. The IRFI may allow for contracts to tradewhere the quantity delivered is uniquely determined by the exposurevalue at settlement of the underlying bond or swap, not a fixed notionalvalue.

FIG. 1B is a flowchart illustrating development of IRFI data packages inaccordance with some embodiments of IRFI. As shown in FIG. 1B, forexample, the IRFI server (e.g., a computer application, device, programetc.) may define IRFI data packages based on benchmark tenors (e.g., 2Year, 5 Year, 7 Year, 10 Year, 30 Year etc.) and maturity (e.g.,Quarterly, first year, second year etc.) at 102. The IRFI server maythen set up a schedule (at 104) based on liquidity events and Treasuryauction schedule that may be accessed from a database included in theIRFI system (herein “IRFI database). The IRFI server may determine riskunit sizes or a constant DV01 (at 106) for each of the IRFI product(e.g., contract) included in the IRFI data package. In oneimplementation, determination of risk unit sizes is based on theprinciple that at zero bound a special relationship exists for a parbond. That is at zero bound the DV01, modified duration, and Macaulayduration are exactly the same, and at zero bound these measures areexactly equal to the time of maturity of the security. The determinationof forward exposure/risk unit size is further described herein. The IRFIserver may determine hedge ratios (at 108) (e.g., spread ratios) basedon the risk unit size determined. For example, if the risk unit size(unit of risk) on a 2 year IRFI product is 20 and the risk unit size ona 10 year product is 100 then the 2 year-10 year spread ratio is 1:5.Hence, the IRFI server eliminates awkward spread ratios to simple roundvalues. The IRFI server may add at least one contract (at 110) on aplatform (e.g., a web based application, a mobile component, a serverapplication, etc.) on the first day of the schedule (determined at 104)to enable exchange of data packages (e.g., trading).

FIG. 2 provides an example logic flow illustrating aspects of a tradingstrategy including IRFI data packages, according to one embodiment ofthe IRFI. As shown in FIG. 2, for example, the IRFI user (e.g., aninvestor, a portfolio manager, a trader, etc.) may initiate and/oraccess a platform (e.g., a web based application, a mobile component, aserver application, etc.) at 202, which may provide a list of listedfuture contracts such as IRFI data packages developed by the IRFI serverto users. The user may select a contract to trade (at 204), e.g., a May2016 Ten Yr IRFI data packages which may include a long datedWhen-Issued (WI) contract on the new 10 year Treasury to be auctioned inMay 2016. The IRFI user may be matched to another IRFI user (at 206) bythe same platform (in 202) or a different platform/application. The usermay determine the number of contracts to trade (at 208) based on therisk unit size of the WI contract, wherein the basis point may be equalto a fixed dollar value of $100. At the end of day one of trading theIRFI user may post initial margin with the Futures Commission Merchant(FCM) and outstanding variation if any may be exchanged depending on thetrade (at 210). On day two of exchange, the IRFI user may determinewhether to add or subtract contracts (at 212). At the end of day two oftrading, variation margin may be determined by calculating the Profitand Loss (P/L) (at 214) and outstanding variation if any may beexchanged. In some embodiments, a proxy implied notional value may bedetermined at the end of each day of trading depending on the auctionstop value determined at the end of each day. The settlement yield anddelivery price may then be determined by the corresponding TreasuryAuction, and such information may be provided to the IRFI at 216. TheIRFI platform may also optionally facilitate a transaction of thedelivery amount at 218, e.g., via an exchange or the OTC market.

FIG. 3 provides an example logic flow illustrating aspects of expirationand settlement process of IRFI data packages, according to oneembodiment of the IRFI. On auction settlement date, the IRFI user mayassume obligations via the IRFI user's FCM of a purchase or sale in theunderlying new issue for settlement via a clearing house (e.g., FICC),provided that the IRFI user is holding positions through delivery at302. Corresponding treasury auction may determine the auction stop rate(at 304) at the end of the settlement date. Optionally, this informationmay be provided to IRFI. In some embodiments, the settlement price andthe delivery price of the IRFI data package exchange may be computed byIRFI. In some embodiments, the settlement and the delivery price may becomputed via existing platforms/infrastructure and this information maybe provided to IRFI. To compute the settlement price, the price of theIRFI contract may be computed (at 306) as 100-yield. The final marginand the variation margins may then be computed (at 308) based on P/Lcalculations. The proxy implied notional value may be computed (at 310)from bond risk to determine settlement. For example, bond risk iscalculated as an average of one basis point move up and one basis pointdown of the underlying. Thus, the settlement process is elegant, simple,and transparent.

FIGS. 4A-4B provide a block diagram illustrating a numeric example ofIRFI using IRFI data packages to trade an option, according to anembodiment. As shown in the FIG. 4A, on day 1, the IRFI may launch twoIRFI products such as, a 10 year August 2016 IRFI contract and aNovember 2016 contract with a defined $100 unit of risk or risk unitsize/forward exposure at 402. A user say user 1 (e.g., an investor, aportfolio manager, a trader, etc.) may seek to lock in funding in thenext two months on $100,000 in DV01 (at 404). Another user say user 2may seek to allocate funds into the treasury market for $100,000 in DV01(at 406). User 1 offers 1000 contracts of 10 year August 2016 contractat 1.55% and user 2 lifts the offer for 1000 contracts at 1.55% (at408). The IRFI server may receive the information of market settling at1.55% on day 1 (at 410). User 1 and user 2 may post initial margin withtheir corresponding FCM. However, no variation is exchanged (at 412)since the close was at 1.55%.

On day 2, user 1 and user 2 communicate with the IRFI server and neitheruser 1 nor user 2 add or subtract any contracts (414). The IRFI servermay receive the information that the market settles at 1.60% on day 2(at 416). Price of the underlying is calculated as 100-yield which is98.40 (at 418) and the price may be communicated with the IRFI server.In some embodiments, the IRFI system includes a processor that computesthe price of the underlying as 100-yield. The profit and loss for user 1and user 2 are determined (at 420). User 1 has a 5 basis point gain inprofit and loss while user 2 has a 5 basis point loss in profit andloss. Profit and loss is 1000 contracts times 5 basis points multipliedby $100 per unit risk which is $500,000. Therefore, user 1 receives$500,000 in variation margin and user 2 transfers $500,000 in variationmargin (at 422). In some embodiments, the IRFI platform may facilitatethe exchange of variation margin amounts.

Referring to FIG. 4B, on day 3, the IRFI server is notified that rateshave moved higher on the ten year august 2016 IRFI contract to 1.65% (at424). The price of the underlying is determined to drop from 98.40 to98.35 (at 426). The profit and loss of user 1 and user 2 are determined(at 428) as 1000 contracts times 5 basis points multiplied by $100 perunit risk which is $500,000. In some embodiments, the IRFI platform mayprovide the users with an option of holding their data package exchangepositions or changing their position (at 430). User 1 holds a positionof P/L up by $1,000,000 (at 431). User 2 closes user 2's position to cutrisk. The account of User 2 is down $1,000,000 from inception due tovariation margin and the position out is at 98.35. User 2 sells at aloss to yet another user, say user 3 (at 432) and the initial margin ofuser 2 is returned. User 3 may post initial margin to FCM and thusestablishes a position at 98.35 where the market closes (at 436).

On settlement day, user 1 and user 3 are still holding positions. Theauction stop rate is determined to be 1.5% (at 438). User 1 and user 3assume obligations via their corresponding FCMs if purchase or sale inthe underlying new issue. User 1 is short 1000 contracts and assumes asale obligation and user 3 is long 1000 contracts and assumes a purchaseobligation (at 440). The final close of the future is determined as100-1.50 which is 98 (at 442). User 1 who sold 1000 contracts at 1.55%is down 5 basis points from inception to date and user 2 who purchased1000 contracts at 1.65% is up 15 basis points. The new ten year 1.5%august 2016 contract that has a price of par with auction stop at 1.5%and may become the price of obligations into FICC (at 444). The risk ofthe new bond at the auction stop or the DV01 is determined to be $924.5per million (at 446). The corresponding equivalent bond notional valuesare determined by simply adding the risk in the number of contracts,that is, 1000 times 100 which is $100,000 and dividing this quantity bythe risk of the new bond calculated at 446 (at 448). Therefore, theproxy implied notional is determined as 108.16 million. The IRFIplatform may optionally facilitate the exchange for an implied notionalas determined in step 448. In other embodiments, the data packages withthe implied proxy notional determined in step 448 are exchanged overexisting platforms/infrastructure.

In one implementation, the exchange method utilized by the IRFI canforce convergence of the cash and futures market that in turn insuresthat the futures represent true economics while providing an outlet forarbitrage.

FIG. 5 is an example display screen of the application or platform ofthe IRFI in accordance with some embodiments. The screen may display theIRFI data packages (e.g., contracts), the implied proxy notional of theexchange for each day of trading, and the size of the contracts beingexchanged. In this example, the information related to a 2 year contractand a 10 year contract are displayed.

Forward Exposure/Risk Unit Size—This section further discloses themethod implemented by the IRFI to determine risk unit size and themotivation behind the disclosed method.

In one implementation, the IRFI can eliminate massive convexityadjustments and the need for complex models for pricing data packagessuch as contracts. In contrast to the existing pricing models andapplications, the IRFI utilizes a simple linear relationship betweenyield and price to determine rounded risk unit sizes. The determinationof the linear relationship and the risk unit sizes are further disclosedherein.

Currently, Treasury market securities trade in price, and settle withaccrued interest. However, most users (e.g., investors, traders, etc.)consider yield rather than price to manage a collection of data packages(e.g., portfolios). For coupon-bearing bonds, such as U.S. Treasuries,the relationship between price and yield assuming no accrued interest isgiven as:

$P = {{{Sum}\mspace{14mu}{\left( {{{i - {1\mspace{14mu}\ldots}}\mspace{14mu}..}\mspace{14mu} N} \right)\left\lbrack {\left( {c\text{/}k} \right)\left( {1 + \frac{y}{k}} \right)^{- {kt}_{i}}} \right\rbrack}} + {100\left( {1 + \frac{y}{k}} \right)^{- {kT}}}}$

P=pricec=coupon ratek=payment periods per yeary=yield to maturityT=time to maturityt_(i)=time from now to the i-th coupon yet to be paid

Using the above relationship, computational time to determine pricegiven yield may be considerably small however, the computational timeand effort to determine yield given the price is very high. In order todetermine the yield, an iterative approach is required and currentimplementations make successive “guesses” at yield until computed pricegiven yield matches the price of the underlier. Therefore, most currentapproaches need to use a root finder such as Newton's method todetermine yield.

In order to compute the yield, practitioners in fixed income marketstoday use duration which is expressed in terms of the “first derivativeof price with respect to yield”. Duration comes in a variety of forms,but they are all conveniently linked to each other with simplerelationships. Some commonly used forms of duration are shown below:

The first derivative of price with respect to yield is known as the“DV01” (dollar value of a 1 basis point move) and is calculated usingthe power rule, that is, differentiation by chain rule on a powerfunction:

${{dP}\text{/}{dy}} = {\left( \frac{1}{1 + {y\text{/}k}} \right)\mspace{11mu}{Sum}\mspace{14mu}{\left( {I = {1\mspace{14mu}{\ldots\mspace{14mu}.\mspace{14mu} N}}} \right)\left\lbrack {{CF}_{i}*t_{i}*{{DF}\left( {y,t_{i}} \right)}} \right\rbrack}}$where, DF(y, t_(i)) = (1 + y/k)^(−kt)

-   -   DF=function calculates present value of $1 that comes at time t        CF_(i)=total cashflows that occur at time t_(i)

Other forms of duration are built on the first derivative of price withrespect to yield:

${{Macaulay}\mspace{14mu}{duration}} = {\left( {1 + \frac{y}{k}} \right)\frac{dP}{dy}\text{/}P}$${{Modified}\mspace{14mu}{duration}} = \frac{{dP}\text{/}{dy}}{P}$

Active management of an interest rate data package collection (e.g.,portfolios) require users (e.g., portfolio managers, traders, etc.) toaccount for changes in duration. For example, consider two data packagesas shown in table 1:

Risk Bucket Data Package Collection A Data Package Collection B 2 YR+$100k/bp  $0k/bp 5 YR  +$10k/bp  $0k/bp 10 YR 0 $50k/bp 30 YR 0 $60k/bpNET $110k/bp $110k/bp 

In this example, data package collections A and B have an equivalentamount of duration or DV01/risk which equals $110 k/bp. However, thesedata package collections may behave differently if, for example, theFederal Reserve were to raise interest rates by 1% overnight since theimpact of a monetary policy decision affects short-term rates much morethan long-term rates. In order to hedge this risk, one solution may beto liquidate data packages in the two and five year bucket. However,this may be undesirable since—the user may assume that the rate-hike isuncertain and may seek protection for a short period of time, some datapackages (e.g., securities) may be illiquid and difficult to exchange(e.g., trade), some data packages such as securities may be attractivelypriced corporate bonds that are expected to perform better than otherdata packages such as U.S. Treasuries but nonetheless may have exposureto general level of interest rates.

When a user seeks to “sell $110 k/bp worth of bonds”, the may need tofirst translate this into market convention which requires a faceamount, or notional size, of a specific security or securities future tosell. Each potential hedging instrument has its own yield, price, andDV01 and so the user may need to equilibrate the following: NotionalRequired=Risk to Hedge/DV01 of Hedging Instrument

It is important to note that DV01s do not remain static through time.Dv01s decay as a function of time to maturity decreases however, dv01sgrown in magnitude with decrease in yield and coupons. Some datapackages such as securities with embedded options (e.g.,cheapest-to-deliver option) have additional uncertainty in theirdurations and can be difficult to model and predict withoutsophisticated risk management software.

Users such as bond portfolio managers often build a yield curve from anumber of existing Treasury securities in order to estimate the correctrisk-free rate, or discount factor, for cash flows at any arbitrarydate. In practice however, there are many securities on the Treasurycurve that have similar maturity dates but different coupons. Further,prices/yields can vary in a way that is not necessarily arbitrage free.Another complication includes most recently issued representativesecurities (“on the run securities”) trading at markedly lower yieldsthan neighboring seasoned securities (“off the run securities”).Finally, some securities may, for one reason or another, have a scarcityvalue that is reflected in financing, or “repo” markets.

Thus, the IRFI utilizes a constant DV01 that would greatly improve uponthe current process of exchange (e.g., hedging) by eliminating—(1)conversion of the price of the hedging instrument to yield (2)calculation of DV01 on the hedging instrument and (3) calculation of thecorrect notional amount required for interest rate hedging. The IRFI canreplace the above mentioned three steps with risk unit size/risk unitswhich can be constant for all levels of yield and may be embedded in thedata package (e.g., contract).

It is the case that if yields are at zero, and coupons are at zero, theprice of a bond is equal to 100 (or “par”) and the Macaulay Duration,Modified Duration, and DV01 are all equal to the time to maturity. Thisrelationship motivates the choice of risk unit sizes such as 200 for the2 yr, 500 for the 5 y, 1000 for the 10 y, 3000 for the 30 y contracts.In some embodiments, rather than choosing completely arbitrary values,DV01s that prevail at the zero bound for yields are chosen. In anormally functioning economy with positive interest rates, the zerobound DV01s represent the maximum DV01 that any coupon-bearing bond canattain. Additionally, at zero coupon the sensitivity/exposure of thedata package is the time to maturity. Thus zero coupon exposureeliminates awkward ratios and assigns round number weights to datapackages.

Therefore, the IRFI can enhance existing methodologies for curveconstruction and can provide new insights that are not captured bycurrent methodologies. For example, the IRFI can provide a mechanism bywhich the liquidity premium of benchmark securities (e.g., 2 year, 5year, 7 year, 10 year, etc.) can be measured directly. In anotherexample, the IRFI can avoid many issues involved in bootstrapping actualsecurities such as effects of financial markets. In yet another example,the IRFI assumes on-market yield or “par” priced securities therebyeliminating adjustments that are otherwise required for premium anddiscount securities. A non-benchmark security (e.g., 6-year treasury)may be defined by adapting the shape of a suitable Treasury curve to fitthrough existing benchmark points, thereby estimating the yield of ahypothetical non-benchmark security with that maturity.

FIG. 6A is a plot illustrating price vs yield for a conventional bond.FIG. 6B is a plot illustrating DV01 of the bond disclosed in FIG. 6A vsDV01 as determined using the IRFI (e.g., IRFI data package). As shown inFIG. 6B, for example, say a user uses a 3% 30-year as hedge at lowlevels of rates (e.g., 3%). If a financial event forces yields muchhigher then, the current methodologies and infrastructure would renderthe 30-year contract ineffective. However as seen from FIG. 6B the IRFIproduct/data package would have a constant exposure.

In one implementation, the IRFI facilitates trading forward rates andoptions on a liquid and widely watched benchmark. The IRFI permitsoptions to be quoted and traded in basis points. Strikes are then struckat yield levels and longer expiration periods may be possible. In thisway, the curve trades may be straightforward to users, and the user maynot need to comprehend complex ratios (e.g., the trading data is a 1-1spread since units are already exposure weighted). The IRFI, via the ˜forward option markets, can offer a listed alternative to the OTC SwapOptions Market, using IRFI data packages on existing futuresinfrastructure, which permits participants from other arenas to offsetand transact in fixed income in a straightforward manner.

In one implementation, unlike other deliverable interest rate swapfutures (e.g., Chicago Mercantile Exchange (CME) Group's interstate rateswap futures) that have a complicated delivery process scanning multipledays, and a lottery process to match longs vs shorts with bi-lateralexposures, IRFI data packages delivery is simple. For example, longfutures have an obligation to buy at settlement the WI via Fixed IncomeClearing Corporation (FICC) so it is equivalent to purchasing at theauction, and shorts become sales.

For another example, the IRFI may improve the conditions of CME TreasuryBasket Futures that are plagued with embedded options, complex rules andrequire sophisticated trading models. In some instances, valuation canbe difficult as contracts price off of a basket of bonds with variouscoupons, prices and durations. They do not reflect or track the majorOTC benchmark. Most existing valuation models require assumptions onRepo financing, the shape of the yield curve, market direction and evenvolatility parameters. Basic OTC quoting and spreading conventions thusmay not be applied to this contract. There is no yield to quote, andtherefore a simple yield curve trade often requires awkward ratios thatare difficult to execute without a computer program. Factor weightings,the exchange offset ratio, may create an unwanted directional bias.Weightings and offset ratios often change as does the composition of thebond basket. All these factors above may complicate forward analysis andtherefore options may not have liquidity beyond the front two contracts.Physical delivery is required and most Future Commission Merchants(FCMs) may demand that the bonds are “boxed” for safe keeping. This inthe past has caused a disruption the float of “cheapest-to-deliver”bonds resulting in fails in the FED Wire system.

As another example, unlike other deliverable interest rate swap futuresthat require complex analytics to derive the invoice yield spread, theforward yield spread of IRFI data packages can be obtained viasubtraction between the two. The following table provides an examplecomparison between the IRFI data packages and the CME basket future:

Cash IRFI DATA CME basket market PACKAGES future Description WI on newListed future Listed future Treasury WI on new on basket of TreasuryTreasuries Quoting Yield Yield Price Valuation FWD yield FWD yield Pricebased on Must assume No need to optionality. coupon assume couponRequires assumption on direction, curve, repo and volatility FlexibilityNegotiated/ Negotiated/ CLOB/only CLOB/RFQ CLOB/RFQ massive blocks cancircumvent Convexity Positive Positive Negative Settlement AuctionAuction Last two minutes of trade Delivery FICC/FedWire FICC/FedWireComplex, exposure of early delivery, exposure of delivery after marketclose, FCM mandate securities to be “boxed” for safekeeping

In this case, the IRFI may appeal to the majority of the users for astraightforward trading platform based on existing infrastructure. TheIRFI may facilitate revenue generating, as the benchmark treasuriesdominate over 600 billion daily transactions in Inter-Dealer market, andtreasury futures can add 200-300 billion in notional transactions daily.The IRFI may attract offsetting and trading activity not only from theInterest Rate Swap (IRS) market or Treasury market but from all fixedincome markets that utilize IRS or Treasuries to offset. By using IRFI,trading in options may exceed volumes of the underlying futures asoptions may have major influence of the market, which may offer a listedalternative to the massive yet less transparent Swap Option Market. Inthis way, transaction fees and exchange fees could contribute to thepotential revenue as well, which may surpass millions in daily revenue.

In some embodiments of the disclosure, computer-based methods ofincreasing trading system security and processor efficiency for amulti-server exchange system (in some instances, having an artificialneural network) that provide interest-based instrument exchange,comprise instantiating, via a computer processor, a exchange platform ona first server; receiving a user selection of a data packet, such as acontract, at the first server from a second server, the selectionincluding characteristic parameters associated with the data packet(e.g., contract); receiving at the first server a user-selected numberor quantity of data packets (e.g., contracts) to trade associated with adata packet metric, such as basis point (BP) for the contract, from thesecond server. Then, calculating or determining (e.g., via an artificialneural network), an EV (e.g., exposure value, exposure offset, or riskhedging) amount based on the data packet metric (e.g., BP for thecontract) and the selected data packet string, number or quantity (e.g.,number of contracts) to cover an EV (e.g., exposure) in a data exchange(e.g., auction). The method continues with the first server receiving aPV string (e.g., pricing data) from a third server associated with adata exchange system (e.g., auction system), the PV string (e.g.,pricing data) including a SY metric or value (e.g., settlement yield)and a DP metric or value (e.g., delivery price). A DQ for the datapacket (e.g., deliver quantity or delivery amount for the contract) isthen calculated or determined (e.g., via artificial neural network orthe like), the DQ based on the received PV string (e.g., pricing data).A secure exchange or transaction is facilitated and/or conducted for theDQ (e.g., a transaction of the delivery amount). In some suchembodiments, the data packet/contract is traded/exchanged based on unitsof forward exposure or DV (Dollar Value_of a basis point without a fixednotional value such that the actual quantity is in line with the forwardexposure. In some embodiments, a price movement (PM) associated with achange in yield (dY) is held constant. Some embodiments are performedwithout iterative yield-to-price calculations. Example yield to priceand price to yield (PtY) formulas are provided below.

Yield to Price:

Quoted Price to Invoice Price:

B ₀(y)=P ₀(y)+AI

Accrued Interest:

AI=12C(1−tntb)

Clean Price from Yield:

P ₀(y)=1(1+y2)_(tntb)[Σ_(=0m−1) C2(1+y2)_(k)+100(1+y2)_(m−1)]

where:C coupon rateP₀ clean quoted pricet_(n) number of days to next coupon paymentt_(b) number of days from last coupon to next coupony yield to maturitym number of coupon payments to maturity

Price to Yield:

Assume the true yield to maturity of a bond is unknown and denoted byy{circumflex over ( )} and hence it's clean, quoted price in the marketas P₀(y{circumflex over ( )}), or for simplicity, P{circumflex over ( )}y{circumflex over ( )} may then determined simply as the solution to thefollowing optimization problem using Newton-Raphson or similar:

argmin_(y){(Po(y)−P{circumflex over ( )})₂}

Example Code:

% -*- coding: utf-8 -*- \documentclass{beamer} \begin{document} \title{Bond Formulas} \author{ } \date{ } \begin{frame} \titlepage \end{frame}\section[Introduction]{Yield to Price} \begin{frame} Quoted price toinvoice price: \[B_o(y) = P_o(y) + AI \] Accrued interest: \[AI =\frac{1}{2}{C (1− \frac{t_{n}}{t_{b}})}\] Clean price from yield:\[P_o(y) = \frac{1}{(1+\frac{y}{2}){circumflex over( )}{\frac{t_{n}}{t_{b}}}}[{\sum_{k=o}{circumflex over ( )}{m−1}\frac{C}{2(1+\frac{y}{2}){circumflex over( )}k}+\frac{100}{(1+\frac{y}{2}){circumflex over ( )}{m−1}}]} where:\begin{enumerate} \item $C$ coupon rate \item $P_o$ clean quoted price\item $t_n$ number of days to next coupon payment \item $t_b$ number ofdays from last coupon to next coupon \item $y$ yield to maturity \item$m$ number of coupon payments to maturity \end{enumerate} \end{frame}\section[Introduction]{Price to Yield} \begin{frame} Assume the trueyield to maturity of a bond is unknown and denoted by $\hat{y}$ andhence it's clean, quoted price in the market as $P_o(\hat{y})$, or forsimplicity, $\hat{P}$ $\hat{y}$ may then determined simply as thesolution to the following optimization problem using Newton-Raphson orsimilar: \[\underset{y}{\operatorname{argmin}} \lbrace (P_o(y) −$\hat{P}$){circumflex over ( )}2\rbrace \end{frame} \end{document} %%%END

In some embodiments, settlement of the transaction is determined by acorresponding Treasury Auction without requiring a separate calculation.In some embodiments, interest-based instruments are provided in roundunits of exposure such that spread trading is in fixed ratios. In someembodiments, interest-based instrument exposure of a basis pointmovement is fixed.

In some embodiments of the disclosure, a secure, high-efficiencyinterest rate based instrument exchange apparatus, comprises: aplurality of processors; a memory storing processor-readableinstructions, the processor-readable instructions being executable bythe plurality of processors to: instantiate an exchange platform;receive a selection (e.g., user selection) of a contract includingcharacteristic parameters associated with the contract; receive aselected (e.g., user selected) number of contracts to trade associatedwith a basis point for the contract; determine a exposure offsettingamount based on the basis point for the contract and the selected numberof contracts to cover a exposure in an auction; receive pricing datafrom an auction system, including a settlement yield and a deliveryprice; and determine a delivery amount for the contract based on thepricing data; and facilitate a transaction of the delivery amount. Insome such embodiments, the contract is traded based on units of forwardexposure or Dollar value of a basis point without a fixed quantity. Insome embodiments, a value at exposure of the contract is a volatility inbasis points multiplied by a number of contracts times a exposure unit.In some embodiments, settlement of the transaction is determined by acorresponding Treasury Auction instead of a price of the transaction. Insome embodiments, the apparatus further includes a calculator or likecomponent. The calculator/calculator component can include one or moreartificial neural networks, for example, an artificial neural networktrained to calculate an exposure offsetting amount and/or a deliveryamount for a contract. In some embodiments, an artificial neural networkcan include or comprise a multi-layer perceptron feedforward artificialneural network. In some embodiments, at least one artificial neuralnetwork includes three or more layers, with at least one input layer, ahidden layer and an output layer—in such an embodiment, the input layercan be configured to receive one or more indicia representing: a basispoint for a contract, a number of contracts to cover a exposure in anauction, pricing data, settlement yield values, and/or delivery pricevalues. In some embodiments, the hidden layer is configured to map thevalues received through the input layer via one or more nonlinearfunctions to generate data packages, including but not limited to anexposure offsetting amount and/or a delivery amount for a contract.

Embodiments of the disclosure include a computer-based method ofproviding communication system security and processor efficiency acrossa multi-server data exchange system having (which in some embodimentscan include an artificial neural network that provides validated IBI(interest rate based instrument) communications and data exchanges, themethod comprising: instantiating a data exchanger (exchange platform) ona first computer server; receiving an encrypted identifier of a datapackage (user selection of a contract) at the first computer server overa secure communication network from a second computer server, theencrypted identifier encrypted at the second computer server; decryptingthe encrypted identifier at the first computer server to determine aplurality of data package parameters associated with the data package(characteristic parameters associated with the contract); securelyreceiving at the first computer server a specified data package quantitystring (or value/user selected number of contracts) from the secondcomputer server, the specified data package quantity string associatedwith a BP value of the data package (basis point of the contract);calculating, via artificial neural network, an offset value (exposureoffsetting amount) based on the BP value (basis point) of the datapackage (contract) and the specified data package quantity string(number of contracts) to correspond to an EV (exposure value) in a dataexchange (auction); receiving a PV string (pricing data) at the firstcomputer server over a secure network from a third computer serverassociated with a data exchange system (auction system), the PV string(pricing data) including a SY value (settlement yield) and a DP value(delivery price); calculating, (in some embodiments, via artificialneural network), a DQ (delivery amount) for the data package (contract)based on the received PV string (pricing data) at the first computerserver; and facilitating a secure exchange (transaction) of the DQ(delivery amount), the data package (contract) exchanged (traded) basedon FE units (units of forward exposure) or DV of a BP (Dollar Value of abasis point) without a fixed NV (notional value) such that actualquantity of a data package exchanged corresponds to the FE units (is inline with the forward exposure).

In some embodiments of the disclosure, a secure, high-efficiencymulti-server data packet (e.g., interest rate based instrument) exchangeapparatus is disclosed, the apparatus comprising: a plurality ofprocessors; a memory in communication with the plurality of processorsand storing processor-readable instructions, the processor-readableinstructions being executable by the plurality of processors to:instantiate a data exchange platform; receive a secure data packetselection (e.g., user selection of a contract), the secure data packetselection including a plurality of data packet parameters (e.g.,parameters associated with the interest rate based instrument/contract);receive a data packet quantity string to exchange associated with a datapacket BP metric (e.g., user selected number of contracts to tradeassociated with a basis point for the contract); calculate/determine anoffset metric based on the data packet BP metric and the data packetquantity string to correspond to an EV in a data exchange (e.g., anexposure offsetting amount based on the basis point for the contract andthe user selected number of contracts to cover a exposure in anauction); receive a PV string from a data exchange system the PV stringincluding a SY metric and DP metric (e.g., pricing data from an auctionsystem, including a settlement yield and a delivery price); calculate adata packet DQ based on the PV string (e.g., determine a delivery amountfor the contract based on the pricing data); and execute a secureexchange of the DQ (e.g., facilitate a transaction of the deliveryamount). In some embodiments, the data packet (e.g., contract) isexchanged (traded) based on FE units and/or DP DV without a set quantity(e.g., units of forward exposure or Dollar value of a basis pointwithout a fixed quantity). In some embodiments, a VALX of the datapacket (e.g., value at exposure of the contract) is VOLBP*(# datapackets)*EU (e.g., a volatility in basis points multiplied by a numberof contracts times a exposure unit).

In some embodiments, completion of the exchange (e.g., settlement of thetransaction) is determined by a corresponding Treasury Auction (and/orthe like) instead of a price of the transaction. In some embodiments,the apparatus further comprises a calculator or calculator component. Insome embodiments, the calculator component includes an artificial neuralnetwork. The artificial neural network can be trained to calculate anoffset metric and/or data packet DQ (e.g., a exposure offsetting amountand/or a delivery amount for a contract). In some embodiments, theartificial neural network is a multi-layer perceptron feedforwardartificial neural network. In some embodiments, the artificial neuralnetwork includes three or more layers, with at least one input layer, ahidden layer and an output layer. In some embodiments, the input layeris configured to receive one or more indicia associated with orrepresenting data packet parameters and/or metrics, such as a datapacket BP (basis point for a contract), a number of contracts to coveran exposure in an auction, pricing data, settlement yield values,delivery price values, and/or the like. In some embodiments the hiddenlayer is configured to map the one or more indicia received through theinput layer via one or more nonlinear functions to generate data packetsparameters (the data packets including but not limited to a exposureoffsetting amount and/or a delivery amount for a contract).

IRFI Controller

FIG. 7 shows a block diagram illustrating example aspects of a IRFIcontroller 701. In this embodiment, the IRFI controller 701 may serve toaggregate, process, store, search, serve, identify, instruct, generate,match, and/or facilitate interactions with a computer through varioustechnologies, and/or other related data.

Users, e.g., 733 a, which may be people and/or other systems, may engageinformation technology systems (e.g., computers) to facilitateinformation processing. In turn, computers employ processors to processinformation; such processors 703 may be referred to as centralprocessing units (CPU). One form of processor is referred to as amicroprocessor. CPUs use communicative circuits to pass binary encodedsignals acting as instructions to enable various operations. Theseinstructions may be operational and/or data instructions containingand/or referencing other instructions and data in various processoraccessible and operable areas of memory 729 (e.g., registers, cachememory, random access memory, etc.). Such communicative instructions maybe stored and/or transmitted in batches (e.g., batches of instructions)as programs and/or data components to facilitate desired operations.These stored instruction codes, e.g., programs, may engage the CPUcircuit components and other motherboard and/or system components toperform desired operations. One type of program is a computer operatingsystem, which, may be executed by CPU on a computer; the operatingsystem enables and facilitates users to access and operate computerinformation technology and resources. Some resources that may beemployed in information technology systems include: input and outputmechanisms through which data may pass into and out of a computer;memory storage into which data may be saved; and processors by whichinformation may be processed. These information technology systems maybe used to collect data for later retrieval, analysis, and manipulation,which may be facilitated through a database program. These informationtechnology systems provide interfaces that allow users to access andoperate various system components.

In one embodiment, the IRFI controller 701 may be connected to and/orcommunicate with entities such as, but not limited to: one or more usersfrom user input devices 711; peripheral devices 712; an optionalcryptographic processor device 728; and/or a communications network 713.For example, the IRFI controller 701 may be connected to and/orcommunicate with users, e.g., 733 a, operating client device(s), e.g.,733 b, including, but not limited to, personal computer(s), server(s)and/or various mobile device(s) including, but not limited to, cellulartelephone(s), smartphone(s) (e.g., iPhone®, Blackberry®, AndroidOS-based phones etc.), tablet computer(s) (e.g., Apple iPad™, HP Slate™,Motorola Xoom™, etc.), eBook reader(s) (e.g., Amazon Kindle™, Barnes andNoble's Nook™ eReader, etc.), laptop computer(s), notebook(s),netbook(s), gaming console(s) (e.g., XBOX Live™, Nintendo® DS, SonyPlayStation® Portable, etc.), portable scanner(s), and/or the like.

Networks are commonly thought to comprise the interconnection andinteroperation of clients, servers, and intermediary nodes in a graphtopology. It should be noted that the term “server” as used throughoutthis application refers generally to a computer, other device, program,or combination thereof that processes and responds to the requests ofremote users across a communications network. Servers serve theirinformation to requesting “clients.” The term “client” as used hereinrefers generally to a computer, program, other device, user and/orcombination thereof that is capable of processing and making requestsand obtaining and processing any responses from servers across acommunications network. A computer, other device, program, orcombination thereof that facilitates, processes information andrequests, and/or furthers the passage of information from a source userto a destination user is commonly referred to as a “node.” Networks aregenerally thought to facilitate the transfer of information from sourcepoints to destinations. A node specifically tasked with furthering thepassage of information from a source to a destination is commonly calleda “router.” There are many forms of networks such as Local Area Networks(LANs), Pico networks, Wide Area Networks (WANs), Wireless Networks(WLANs), etc. For example, the Internet is generally accepted as beingan interconnection of a multitude of networks whereby remote clients andservers may access and interoperate with one another.

The IRFI controller 701 may be based on computer systems that maycomprise, but are not limited to, components such as: a computersystemization 702 connected to memory 729.

Computer Systemization

A computer systemization 702 may comprise a clock 730, centralprocessing unit (“CPU(s)” and/or “processor(s)” (these terms are usedinterchangeably throughout the disclosure unless noted to the contrary))703, a memory 729 (e.g., a read only memory (ROM) 706, a random accessmemory (RAM) 705, etc.), and/or an interface bus 707, and mostfrequently, although not necessarily, are all interconnected and/orcommunicating through a system bus 704 on one or more (mother)board(s)702 having conductive and/or otherwise transportive circuit pathwaysthrough which instructions (e.g., binary encoded signals) may travel toeffectuate communications, operations, storage, etc. The computersystemization may be connected to a power source 786; e.g., optionallythe power source may be internal. Optionally, a cryptographic processor726 and/or transceivers (e.g., ICs) 774 may be connected to the systembus. In another embodiment, the cryptographic processor and/ortransceivers may be connected as either internal and/or externalperipheral devices 712 via the interface bus I/O. In turn, thetransceivers may be connected to antenna(s) 775, thereby effectuatingwireless transmission and reception of various communication and/orsensor protocols; for example the antenna(s) may connect to: a TexasInstruments WiLink WL1283 transceiver chip (e.g., providing 802.11n,Bluetooth 3.0, FM, global positioning system (GPS) (thereby allowingIRFI controller to determine its location)); Broadcom BCM4329FKUBGtransceiver chip (e.g., providing 802.11n, Bluetooth 2.1+EDR, FM, etc.),BCM28150 (HSPA+) and BCM2076 (Bluetooth 4.0, GPS, etc.); a BroadcomBCM4750IUB8 receiver chip (e.g., GPS); an Infineon Technologies X-Gold618-PMB9800 (e.g., providing 2G/3G HSDPA/HSUPA communications); Intel'sXMM 7160 (LTE & DC-HSPA), Qualcom's CDMA(2000), Mobile Data/StationModem, Snapdragon; and/or the like. The system clock may have a crystaloscillator and generates a base signal through the computersystemization's circuit pathways. The clock may be coupled to the systembus and various clock multipliers that will increase or decrease thebase operating frequency for other components interconnected in thecomputer systemization. The clock and various components in a computersystemization drive signals embodying information throughout the system.Such transmission and reception of instructions embodying informationthroughout a computer systemization may be referred to ascommunications. These communicative instructions may further betransmitted, received, and the cause of return and/or replycommunications beyond the instant computer systemization to:communications networks, input devices, other computer systemizations,peripheral devices, and/or the like. It should be understood that inalternative embodiments, any of the above components may be connecteddirectly to one another, connected to the CPU, and/or organized innumerous variations employed as exemplified by various computer systems.

The CPU comprises at least one high-speed data processor adequate toexecute program components for executing user and/or system-generatedrequests. Often, the processors themselves will incorporate variousspecialized processing units, such as, but not limited to: floatingpoint units, integer processing units, integrated system (bus)controllers, logic operating units, memory management control units,etc., and even specialized processing sub-units like graphics processingunits, digital signal processing units, and/or the like. Additionally,processors may include internal fast access addressable memory, and becapable of mapping and addressing memory 329 beyond the processoritself; internal memory may include, but is not limited to: fastregisters, various levels of cache memory (e.g., level 1, 2, 3, etc.),RAM, etc. The processor may access this memory through the use of amemory address space that is accessible via instruction address, whichthe processor may construct and decode allowing it to access a circuitpath to a specific memory address space having a memory state/value. TheCPU may be a microprocessor such as: AMD's Athlon, Duron and/or Opteron;ARM's classic (e.g., ARM7/9/11), embedded (Coretx-M/R), application(Cortex-A), embedded and secure processors; IBM and/or Motorola'sDragonBall and PowerPC; IBM's and Sony's Cell processor; Intel's Atom,Celeron (Mobile), Core (2/Duo/i3/i5/i7), Itanium, Pentium, Xeon, and/orXScale; and/or the like processor(s). The CPU interacts with memorythrough instruction passing through conductive and/or transportiveconduits (e.g., (printed) electronic and/or optic circuits) to executestored instructions (i.e., program code). Such instruction passingfacilitates communication within the IRFI controller and beyond throughvarious interfaces. Should processing requirements dictate a greateramount speed and/or capacity, distributed processors (e.g., DistributedIRFI), mainframe, multi-core, parallel, and/or super-computerarchitectures may similarly be employed. Alternatively, shoulddeployment requirements dictate greater portability, smaller mobiledevices (e.g., smartphones, Personal Digital Assistants (PDAs), etc.)may be employed.

Depending on the particular implementation, features of the IRFI may beachieved by implementing a microcontroller such as CAST's R8051XC2microcontroller; Intel's MCS 51 (i.e., 8051 microcontroller); and/or thelike. Also, to implement certain features of the IRFI, some featureimplementations may rely on embedded components, such as:Application-Specific Integrated Circuit (“ASIC”), Digital SignalProcessing (“DSP”), Field Programmable Gate Array (“FPGA”), and/or thelike embedded technology. For example, any of the IRFI componentcollection (distributed or otherwise) and/or features may be implementedvia the microprocessor and/or via embedded components; e.g., via ASIC,coprocessor, DSP, FPGA, and/or the like. Alternately, someimplementations of the IRFI may be implemented with embedded componentsthat are configured and used to achieve a variety of features or signalprocessing.

Depending on the particular implementation, the embedded components mayinclude software solutions, hardware solutions, and/or some combinationof both hardware/software solutions. For example, IRFI featuresdiscussed herein may be achieved through implementing FPGAs, which are asemiconductor devices containing programmable logic components called“logic blocks”, and programmable interconnects, such as the highperformance FPGA Virtex series and/or the low cost Spartan seriesmanufactured by Xilinx. Logic blocks and interconnects may be programmedby the customer or designer, after the FPGA is manufactured, toimplement any of the IRFI features. A hierarchy of programmableinterconnects allow logic blocks to be interconnected as needed by theIRFI system designer/administrator, somewhat like a one-chipprogrammable breadboard. An FPGA's logic blocks may be programmed toperform the operation of basic logic gates such as AND, and XOR, or morecomplex combinational operators such as decoders or simple mathematicaloperations. In most FPGAs, the logic blocks also include memoryelements, which may be circuit flip-flops or more complete blocks ofmemory. In some circumstances, the IRFI may be developed on regularFPGAs and then migrated into a fixed version that more resembles ASICimplementations. Alternate or coordinating implementations may migrateIRFI controller features to a final ASIC instead of or in addition toFPGAs. Depending on the implementation all of the aforementionedembedded components and microprocessors may be considered the “CPU”and/or “processor” for the IRFI.

Power Source

The power source 786 may be of any standard form for powering smallelectronic circuit board devices such as the following power cells:alkaline, lithium hydride, lithium ion, lithium polymer, nickel cadmium,solar cells, and/or the like. Other types of AC or DC power sources maybe used as well. In the case of solar cells, in one embodiment, the caseprovides an aperture through which the solar cell may capture photonicenergy. The power cell 786 is connected to at least one of theinterconnected subsequent components of the IRFI thereby providing anelectric current to all the interconnected components. In one example,the power source 786 is connected to the system bus component 704. In analternative embodiment, an outside power source 786 is provided througha connection across the I/O 708 interface. For example, a USB and/orIEEE 1394 connection carries both data and power across the connectionand is therefore a suitable source of power.

Interface Adapters

Interface bus(ses) 707 may accept, connect, and/or communicate to anumber of interface adapters, frequently, although not necessarily inthe form of adapter cards, such as but not limited to: input outputinterfaces (I/O) 708, storage interfaces 709, network interfaces 710,and/or the like. Optionally, cryptographic processor interfaces 727similarly may be connected to the interface bus. The interface busprovides for the communications of interface adapters with one anotheras well as with other components of the computer systemization.Interface adapters are adapted for a compatible interface bus. Interfaceadapters may connect to the interface bus via expansion and/or slotarchitecture. Various expansion and/or slot architectures may beemployed, such as, but not limited to: Accelerated Graphics Port (AGP),Card Bus, ExpressCard, (Extended) Industry Standard Architecture((E)ISA), Micro Channel Architecture (MCA), NuBus, Peripheral ComponentInterconnect (Extended) (PCI(X)), PCI Express, Personal Computer MemoryCard International Association (PCMCIA), Thunderbolt, and/or the like.

Storage interfaces 709 may accept, communicate, and/or connect to anumber of storage devices such as, but not limited to: storage devices314, removable disc devices, and/or the like. Storage interfaces mayemploy connection protocols such as, but not limited to: (Ultra)(Serial) Advanced Technology Attachment (Packet Interface) ((Ultra)(Serial) ATA(PI)), (Enhanced) Integrated Drive Electronics ((E)IDE),Institute of Electrical and Electronics Engineers (IEEE) 1394, Ethernet,fiber channel, Small Computer Systems Interface (SCSI), Thunderbolt,Universal Serial Bus (USB), and/or the like.

Network interfaces 710 may accept, communicate, and/or connect to acommunications network 713. Through a communications network 313, theIRFI controller is accessible through remote clients 733 b (e.g.,computers with web browsers) by users 733 a. Network interfaces mayemploy connection protocols such as, but not limited to: direct connect,Ethernet (thick, thin, twisted pair 10/100/1000 Base T, and/or thelike), Token Ring, wireless connection such as IEEE 802.11a-x, and/orthe like. Should processing requirements dictate a greater amount speedand/or capacity, distributed network controllers (e.g., DistributedIRFI), architectures may similarly be employed to pool, load balance,and/or otherwise increase the communicative bandwidth required by theIRFI controller. A communications network may be any one and/or thecombination of the following: a direct interconnection; the Internet; aLocal Area Network (LAN); a Metropolitan Area Network (MAN); anOperating Missions as Nodes on the Internet (OMNI); a secured customconnection; a Wide Area Network (WAN); a wireless network (e.g.,employing protocols such as, but not limited to a Wireless ApplicationProtocol (WAP), I-mode, and/or the like); and/or the like. A networkinterface may be regarded as a specialized form of an input outputinterface. Further, multiple network interfaces 710 may be used toengage with various communications network types 713. For example,multiple network interfaces may be employed to allow for thecommunication over broadcast, multicast, and/or unicast networks.

Input Output interfaces (I/O) 708 may accept, communicate, and/orconnect to user input devices 711, peripheral devices 712, cryptographicprocessor devices 728, and/or the like. I/O may employ connectionprotocols such as, but not limited to: audio: analog, digital, monaural,RCA, stereo, and/or the like; data: Apple Desktop Bus (ADB), Bluetooth,IEEE 1394a-b, serial, universal serial bus (USB); infrared; joystick;keyboard; midi; optical; PC AT; PS/2; parallel; radio; video interface:Apple Desktop Connector (ADC), BNC, coaxial, component, composite,digital, DisplayPort, Digital Visual Interface (DVI), high-definitionmultimedia interface (HDMI), RCA, RF antennae, S-Video, VGA, and/or thelike; wireless transceivers: 802.11a/b/g/n/x; Bluetooth; cellular (e.g.,code division multiple access (CDMA), high speed packet access(HSPA(+)), high-speed downlink packet access (HSDPA), global system formobile communications (GSM), long term evolution (LTE), WiMax, etc.);and/or the like. One output device may be a video display, which maytake the form of a Cathode Ray Tube (CRT), Liquid Crystal Display (LCD),Light Emitting Diode (LED), Organic Light Emitting Diode (OLED), Plasma,and/or the like based monitor with an interface (e.g., VGA, DVIcircuitry and cable) that accepts signals from a video interface. Thevideo interface composites information generated by a computersystemization and generates video signals based on the compositedinformation in a video memory frame. Another output device is atelevision set, which accepts signals from a video interface. Often, thevideo interface provides the composited video information through avideo connection interface that accepts a video display interface (e.g.,an RCA composite video connector accepting an RCA composite video cable;a DVI connector accepting a DVI display cable, HDMI, etc.).

User input devices 711 often are a type of peripheral device 712 (seebelow) and may include: card readers, dongles, finger print readers,gloves, graphics tablets, joysticks, keyboards, microphones, mouse(mice), remote controls, retina readers, touch screens (e.g.,capacitive, resistive, etc.), trackballs, trackpads, sensors (e.g.,accelerometers, ambient light, GPS, gyroscopes, proximity, etc.),styluses, and/or the like.

Peripheral devices 712 may be connected and/or communicate to I/O and/orother facilities of the like such as network interfaces, storageinterfaces, directly to the interface bus, system bus, the CPU, and/orthe like. Peripheral devices may be external, internal and/or part ofthe IRFI controller. Peripheral devices may include: antenna, audiodevices (e.g., line-in, line-out, microphone input, speakers, etc.),cameras (e.g., still, video, webcam, etc.), dongles (e.g., for copyprotection, ensuring secure transactions with a digital signature,and/or the like), external processors (for added capabilities; e.g.,crypto devices 728), force-feedback devices (e.g., vibrating motors),near field communication (NFC) devices, network interfaces, printers,radio frequency identifiers (RFIDs), scanners, storage devices,transceivers (e.g., cellular, GPS, etc.), video devices (e.g., goggles,monitors, etc.), video sources, visors, and/or the like. Peripheraldevices often include types of input devices (e.g., microphones,cameras, etc.).

It should be noted that although user input devices and peripheraldevices may be employed, the IRFI controller may be embodied as anembedded, dedicated, and/or monitor-less (i.e., headless) device,wherein access may be provided over a network interface connection.

Cryptographic units such as, but not limited to, microcontrollers,processors 726, interfaces 727, and/or devices 728 may be attached,and/or communicate with the IRFI controller. A MC68HC16 microcontroller,manufactured by Motorola Inc., may be used for and/or withincryptographic units. The MC68HC16 microcontroller utilizes a 16-bitmultiply-and-accumulate instruction in the 16 MHz configuration andrequires less than one second to perform a 512-bit RSA private keyoperation. Cryptographic units support the authentication ofcommunications from interacting agents, as well as allowing foranonymous transactions. Cryptographic units may also be configured aspart of the CPU. Equivalent microcontrollers and/or processors may alsobe used. Other commercially available specialized cryptographicprocessors include: the Broadcom's CryptoNetX and other SecurityProcessors; nCipher's nShield (e.g., Solo, Connect, etc.), SafeNet'sLuna PCI (e.g., 7100) series; Semaphore Communications' 40 MHzRoadrunner 184; sMIP's (e.g., 208956); Sun's Cryptographic Accelerators(e.g., Accelerator 6000 PCIe Board, Accelerator 500 Daughtercard); ViaNano Processor (e.g., L2100, L2200, U2400) line, which is capable ofperforming 500+MB/s of cryptographic instructions; VLSI Technology's 33MHz 6868; and/or the like.

Memory

Generally, any mechanization and/or embodiment allowing a processor toaffect the storage and/or retrieval of information is regarded as memory729. However, memory is a fungible technology and resource, thus, anynumber of memory embodiments may be employed in lieu of or in concertwith one another. It is to be understood that the IRFI controller and/ora computer systemization may employ various forms of memory 729. Forexample, a computer systemization may be configured wherein theoperation of on-chip CPU memory (e.g., registers), RAM, ROM, and anyother storage devices are provided by a paper punch tape or paper punchcard mechanism; however, such an embodiment may result in an extremelyslow rate of operation. In one configuration, memory 729 may include ROM706, RAM 705, and a storage device 714. A storage device 314 may employany number of computer storage devices/systems. Storage devices mayinclude a drum; a (fixed and/or removable) magnetic disk drive; amagneto-optical drive; an optical drive (i.e., Blueray, CDROM/RAM/Recordable (R)/ReWritable (RW), DVD R/RW, HD DVD R/RW etc.); anarray of devices (e.g., Redundant Array of Independent Disks (RAID));solid state memory devices (USB memory, solid state drives (SSD), etc.);other processor-readable storage mediums; and/or other devices of thelike. Thus, a computer systemization generally requires and makes use ofmemory.

Component Collection

The memory 729 may contain a collection of program and/or databasecomponents and/or data such as, but not limited to: operating systemcomponent(s) 715 (operating system); information server component(s) 716(information server); user interface component(s) 717 (user interface);Web browser component(s) 718 (Web browser); database(s) 719; mail servercomponent(s) 721; mail client component(s) 722; cryptographic servercomponent(s) 720 (cryptographic server); the IRFI component(s) 735;and/or the like (i.e., collectively a component collection). Thesecomponents may be stored and accessed from the storage devices and/orfrom storage devices accessible through an interface bus. Althoughnon-conventional program components such as those in the componentcollection may be stored in a local storage device 714, they may also beloaded and/or stored in memory such as: peripheral devices, RAM, remotestorage facilities through a communications network, ROM, various formsof memory, and/or the like.

Operating System

The operating system component 715 is an executable program componentfacilitating the operation of the IRFI controller. The operating systemmay facilitate access of I/O, network interfaces, peripheral devices,storage devices, and/or the like. The operating system may be a highlyfault tolerant, scalable, and secure system such as: Apple Macintosh OSX (Server); AT&T Plan 9; Be OS; Unix and Unix-like system distributions(such as AT&T's UNIX; Berkley Software Distribution (BSD) variationssuch as FreeBSD, NetBSD, OpenBSD, and/or the like; Linux distributionssuch as Red Hat, Ubuntu, and/or the like); and/or the like operatingsystems. However, more limited and/or less secure operating systems alsomay be employed such as Apple Macintosh OS, IBM OS/2, Microsoft DOS,Microsoft Windows 2000/2003/3.1/95/98/CE/Millenium/NT/Vista/XP (Server),Palm OS, and/or the like. In addition, emobile operating systems such asApple's iOS, Google's Android, Hewlett Packard's WebOS, MicrosoftsWindows Mobile, and/or the like may be employed. Any of these operatingsystems may be embedded within the hardware of the NICK controller,and/or stored/loaded into memory/storage. An operating system maycommunicate to and/or with other components in a component collection,including itself, and/or the like. Most frequently, the operating systemcommunicates with other program components, user interfaces, and/or thelike. For example, the operating system may contain, communicate,generate, obtain, and/or provide program component, system, user, and/ordata communications, requests, and/or responses. The operating system,once executed by the CPU, may enable the interaction with communicationsnetworks, data, I/O, peripheral devices, program components, memory,user input devices, and/or the like. The operating system may providecommunications protocols that allow the IRFI controller to communicatewith other entities through a communications network 713. Variouscommunication protocols may be used by the IRFI controller as asubcarrier transport mechanism for interaction, such as, but not limitedto: multicast, TCP/IP, UDP, unicast, and/or the like.

Information Server

An information server component 716 is a stored program component thatis executed by a CPU. The information server may be an Internetinformation server such as, but not limited to Apache SoftwareFoundation's Apache, Microsoft's Internet Information Server, and/or thelike. The information server may allow for the execution of programcomponents through facilities such as Active Server Page (ASP), ActiveX,(ANSI) (Objective-) C (++), C# and/or .NET, Common Gateway Interface(CGI) scripts, dynamic (D) hypertext markup language (HTML), FLASH,Java, JavaScript, Practical Extraction Report Language (PERL), HypertextPre-Processor (PHP), pipes, Python, wireless application protocol (WAP),WebObjects, and/or the like. The information server may support securecommunications protocols such as, but not limited to, File TransferProtocol (FTP); HyperText Transfer Protocol (HTTP); Secure HypertextTransfer Protocol (HTTPS), Secure Socket Layer (SSL), messagingprotocols (e.g., America Online (AOL) Instant Messenger (AIM), Apple'siMessage, Application Exchange (APEX), ICQ, Internet Relay Chat (IRC),Microsoft Network (MSN) Messenger Service, Presence and InstantMessaging Protocol (PRIM), Internet Engineering Task Force's (IETF's)Session Initiation Protocol (SIP), SIP for Instant Messaging andPresence Leveraging Extensions (SIMPLE), open XML-based ExtensibleMessaging and Presence Protocol (XMPP) (i.e., Jabber or Open MobileAlliance's (OMA's) Instant Messaging and Presence Service (IMPS)),Yahoo! Instant Messenger Service, and/or the like. The informationserver provides results in the form of Web pages to Web browsers, andallows for the manipulated generation of the Web pages throughinteraction with other program components. After a Domain Name System(DNS) resolution portion of an HTTP request is resolved to a particularinformation server, the information server resolves requests forinformation at specified locations on the IRFI controller based on theremainder of the HTTP request. For example, a request such ashttp://123.124.125.126/myInformation.html might have the IP portion ofthe request “123.124.125.126” resolved by a DNS server to an informationserver at that IP address; that information server might in turn furtherparse the http request for the “/myInformation.html” portion of therequest and resolve it to a location in memory containing theinformation “myInformation.html.” Additionally, other informationserving protocols may be employed across various ports, e.g., FTPcommunications across port 21, and/or the like. An information servermay communicate to and/or with other components in a componentcollection, including itself, and/or facilities of the like. Mostfrequently, the information server communicates with the IRFI database719, operating systems, other program components, user interfaces, Webbrowsers, and/or the like.

Access to the IRFI database may be achieved through a number of databasebridge mechanisms such as through scripting languages as enumeratedbelow (e.g., CGI) and through inter-application communication channelsas enumerated below (e.g., CORBA, WebObjects, etc.). Any data requeststhrough a Web browser are parsed through the bridge mechanism intoappropriate grammars as required by the IRFI. In one embodiment, theinformation server may provide a Web form accessible by a Web browser.Entries made into supplied fields in the Web form are tagged as havingbeen entered into the particular fields, and parsed as such. The enteredterms are then passed along with the field tags, which act to instructthe parser to generate queries directed to appropriate tables and/orfields. In one embodiment, the parser may generate queries in standardSQL by instantiating a search string with the proper join/selectcommands based on the tagged text entries, wherein the resulting commandis provided over the bridge mechanism to the IRFI as a query. Upongenerating query results from the query, the results are passed over thebridge mechanism, and may be parsed for formatting and generation of anew results Web page by the bridge mechanism. Such a new results Webpage is then provided to the information server, which may supply it tothe requesting Web browser.

Also, an information server may contain, communicate, generate, obtain,and/or provide program component, system, user, and/or datacommunications, requests, and/or responses.

User Interface

Computer interfaces in some respects are similar to automobile operationinterfaces. Automobile operation interface elements such as steeringwheels, gearshifts, and speedometers facilitate the access, operation,and display of automobile resources, and status. Computer interactioninterface elements such as check boxes, cursors, menus, scrollers, andwindows (collectively and commonly referred to as widgets) similarlyfacilitate the access, capabilities, operation, and display of data andcomputer hardware and operating system resources, and status. Operationinterfaces are commonly called user interfaces. Graphical userinterfaces (GUIs) such as the Apple Macintosh Operating System's Aquaand iOS's Cocoa Touch, IBM's OS/2, Google's Android Mobile UI,Microsoft's Windows2000/2003/3.1/95/98/CE/Millenium/Mobile/NT/XP/Vista/7/8 (i.e., Aero,Metro), Unix's X-Windows (e.g., which may include additional Unixgraphic interface libraries and layers such as K Desktop Environment(KDE), mythTV and GNU Network Object Model Environment (GNOME)), webinterface libraries (e.g., ActiveX, AJAX, (D)HTML, FLASH, Java,JavaScript, etc. interface libraries such as, but not limited to, Dojo,jQuery(UI), MooTools, Prototype, script.aculo.us, SWFObject, Yahoo! UserInterface, any of which may be used and) provide a baseline and means ofaccessing and displaying information graphically to users.

A user interface component 717 is a stored program component that isexecuted by a CPU. The user interface may be a graphic user interface asprovided by, with, and/or atop operating systems and/or operatingenvironments such as already discussed. The user interface may allow forthe display, execution, interaction, manipulation, and/or operation ofprogram components and/or system facilities through textual and/orgraphical facilities. The user interface provides a facility throughwhich users may affect, interact, and/or operate a computer system. Auser interface may communicate to and/or with other components in acomponent collection, including itself, and/or facilities of the like.Most frequently, the user interface communicates with operating systems,other program components, and/or the like. The user interface maycontain, communicate, generate, obtain, and/or provide programcomponent, system, user, and/or data communications, requests, and/orresponses. FIG. 5 illustrates an example display screen provided by theuser interface component 717 in accordance with some embodiments.

Web Browser

A Web browser component 718 is a stored program component that isexecuted by a CPU. The Web browser may be a hypertext viewingapplication such as Google's (Mobile) Chrome, Microsoft InternetExplorer, Netscape Navigator, Apple's (Mobile) Safari, embedded webbrowser objects such as through Apple's Cocoa (Touch) object class,and/or the like. Secure Web browsing may be supplied with 128 bit (orgreater) encryption by way of HTTPS, SSL, and/or the like. Web browsersallowing for the execution of program components through facilities suchas ActiveX, AJAX, (D)HTML, FLASH, Java, JavaScript, web browser plug-inAPIs (e.g., Chrome, FireFox, Internet Explorer, Safari Plug-in, and/orthe like APIs), and/or the like. Web browsers and like informationaccess tools may be integrated into PDAs, cellular telephones,smartphones, and/or other mobile devices. A Web browser may communicateto and/or with other components in a component collection, includingitself, and/or facilities of the like. Most frequently, the Web browsercommunicates with information servers, operating systems, integratedprogram components (e.g., plug-ins), and/or the like; e.g., it maycontain, communicate, generate, obtain, and/or provide programcomponent, system, user, and/or data communications, requests, and/orresponses. Also, in place of a Web browser and information server, acombined application may be developed to perform similar operations ofboth. The combined application may similarly effect the obtaining andthe provision of information to users, user agents, and/or the like fromthe IRFI equipped nodes. The combined application may be nugatory onsystems employing standard Web browsers.

Mail Server

A mail server component 721 is a stored program component that isexecuted by a CPU 703. The mail server may be an Internet mail serversuch as, but not limited to Apple's Mail Server (3), dovect, sendmail,Microsoft Exchange, and/or the like. The mail server may allow for theexecution of program components through facilities such as ASP, ActiveX,(ANSI) (Objective-) C (++), C# and/or .NET, CGI scripts, Java,JavaScript, PERL, PHP, pipes, Python, WebObjects, and/or the like. Themail server may support communications protocols such as, but notlimited to: Internet message access protocol (IMAP), MessagingApplication Programming Interface (MAPI)/Microsoft Exchange, post officeprotocol (POP3), simple mail transfer protocol (SMTP), and/or the like.The mail server may route, forward, and process incoming and outgoingmail messages that have been sent, relayed and/or otherwise traversingthrough and/or to the IRFI.

Access to the IRFI mail may be achieved through a number of APIs offeredby the individual Web server components and/or the operating system.

Also, a mail server may contain, communicate, generate, obtain, and/orprovide program component, system, user, and/or data communications,requests, information, and/or responses.

Mail Client

A mail client component 722 is a stored program component that isexecuted by a CPU 703. The mail client may be a mail viewing applicationsuch as Apple (Mobile) Mail, Microsoft Entourage, Microsoft Outlook,Microsoft Outlook Express, Mozilla, Thunderbird, and/or the like. Mailclients may support a number of transfer protocols, such as: IMAP,Microsoft Exchange, POP3, SMTP, and/or the like. A mail client maycommunicate to and/or with other components in a component collection,including itself, and/or facilities of the like. Most frequently, themail client communicates with mail servers, operating systems, othermail clients, and/or the like; e.g., it may contain, communicate,generate, obtain, and/or provide program component, system, user, and/ordata communications, requests, information, and/or responses. Generally,the mail client provides a facility to compose and transmit electronicmail messages.

Cryptographic Server

A cryptographic server component 720 is a stored program component thatis executed by a CPU 703, cryptographic processor 726, cryptographicprocessor interface 727, cryptographic processor device 728, and/or thelike. Cryptographic processor interfaces will allow for expedition ofencryption and/or decryption requests by the cryptographic component;however, the cryptographic component, alternatively, may run on a CPU.The cryptographic component allows for the encryption and/or decryptionof provided data. The cryptographic component allows for both symmetricand asymmetric (e.g., Pretty Good Protection (PGP)) encryption and/ordecryption. The cryptographic component may employ cryptographictechniques such as, but not limited to: digital certificates (e.g.,X.509 authentication framework), digital signatures, dual signatures,enveloping, password access protection, public key management, and/orthe like. The cryptographic component will facilitate numerous(encryption and/or decryption) security protocols such as, but notlimited to: checksum, Data Encryption Standard (DES), Elliptical CurveEncryption (ECC), International Data Encryption Algorithm (IDEA),Message Digest 5 (MD5, which is a one way hash operation), passwords,Rivest Cipher (RCS), Rijndael, RSA (which is an Internet encryption andauthentication system that uses an algorithm developed in 1977 by RonRivest, Adi Shamir, and Leonard Adleman), Secure Hash Algorithm (SHA),Secure Socket Layer (SSL), Secure Hypertext Transfer Protocol (HTTPS),and/or the like. Employing such encryption security protocols, the IRFImay encrypt all incoming and/or outgoing communications and may serve asnode within a virtual private network (VPN) with a wider communicationsnetwork. The cryptographic component facilitates the process of“security authorization” whereby access to a resource is inhibited by asecurity protocol wherein the cryptographic component effects authorizedaccess to the secured resource. In addition, the cryptographic componentmay provide unique identifiers of content, e.g., employing and MD5 hashto obtain a unique signature for an digital audio file. A cryptographiccomponent may communicate to and/or with other components in a componentcollection, including itself, and/or facilities of the like. Thecryptographic component supports encryption schemes allowing for thesecure transmission of information across a communications network toenable the IRFI component to engage in secure transactions if sodesired. The cryptographic component facilitates the secure accessing ofresources on the IRFI and facilitates the access of secured resources onremote systems; i.e., it may act as a client and/or server of securedresources. Most frequently, the cryptographic component communicateswith information servers, operating systems, other program components,and/or the like. The cryptographic component may contain, communicate,generate, obtain, and/or provide program component, system, user, and/ordata communications, requests, and/or responses.

The IRFI Database

The IRFI database component 719 may be embodied in a database and itsstored data. The database is a stored program component, which isexecuted by the CPU; the stored program component portion configuringthe CPU to process the stored data. The database may be any of a numberof fault tolerant, relational, scalable, secure databases, such as DB2,MySQL, Oracle, Sybase, and/or the like. Relational databases are anextension of a flat file. Relational databases consist of a series ofrelated tables. The tables are interconnected via a key field. Use ofthe key field allows the combination of the tables by indexing againstthe key field; i.e., the key fields act as dimensional pivot points forcombining information from various tables. Relationships generallyidentify links maintained between tables by matching primary keys.Primary keys represent fields that uniquely identify the rows of a tablein a relational database. More precisely, they uniquely identify rows ofa table on the “one” side of a one-to-many relationship.

Alternatively, the IRFI database may be implemented using variousstandard data-structures, such as an array, hash, (linked) list, struct,structured text file (e.g., XML), table, and/or the like. Suchdata-structures may be stored in memory and/or in (structured) files. Inanother alternative, an object-oriented database may be used, such asFrontier, ObjectStore, Poet, Zope, and/or the like. Object databases mayinclude a number of object collections that are grouped and/or linkedtogether by common attributes; they may be related to other objectcollections by some common attributes. Object-oriented databases performsimilarly to relational databases with the exception that objects arenot just pieces of data but may have other types of capabilitiesencapsulated within a given object. If the IRFI database is implementedas a data-structure, the use of the IRFI database 719 may be integratedinto another component such as the IRFI component 735. Also, thedatabase may be implemented as a mix of data structures, objects, andrelational structures. Databases may be consolidated and/or distributedin countless variations through standard data processing techniques. 6 oPortions of databases, e.g., tables, may be exported and/or imported andthus decentralized and/or integrated.

In one embodiment, the database component 719 includes several tables719 a-d. A Users table 319 a may include fields such as, but not limitedto: user_id, user_device_id, username, password, dob, first_name,last_name, age, state, address_firstline, address_secondline, zipcode,devices_list, contact_info, contact_type, alt_contact_info,alt_contact_type, and/or the like. The Users table may support and/ortrack multiple entity accounts on an IRFI. An IRFI PRODUCTS (or datapackages) table 719 b may include fields such as, but not limited to:IRFI PRODUCTS_date, IRFI products_type, IRFI products_rate, IRFIproducts_amount, IRFI products_expiration, IRFI products_bond, and/orthe like. A Portfolio 719 c may include fields such as, but not limitedto: portfolio_id, portfolio_user_id, portfolio_IRFI products_id,portfolio_IRFI products_id, portfolio_offsetting, portfolio_amount,portfolio_date, and/or the like. A market data table 719 d includesfields such as, but not limited to: market_data_feed_ID, asset_ID,asset_symbol, asset_name, spot_price, bid_price, ask_price, and/or thelike; in one embodiment, the market data table is populated through amarket data feed (e.g., Bloomberg's PhatPipe, Dun & Bradstreet, Reuter'sTib, Triarch, etc.), for example, through Microsoft's Active TemplateLibrary and Dealing Object Technology's real-time toolkit Rtt.Multi.

In one embodiment, the IRFI database may interact with other databasesystems. For example, employing a distributed database system, queriesand data access by search IRFI component may treat the combination ofthe IRFI database, an integrated data security layer database as asingle database entity.

In one embodiment, user programs may contain various user interfaceprimitives, which may serve to update the IRFI. Also, various accountsmay require custom database tables depending upon the environments andthe types of clients the IRFI may need to serve. It should be noted thatany unique fields may be designated as a key field throughout. In analternative embodiment, these tables have been decentralized into theirown databases and their respective database controllers (i.e.,individual database controllers for each of the above tables). Employingstandard data processing techniques, one may further distribute thedatabases over several computer systemizations and/or storage devices.Similarly, configurations of the decentralized database controllers maybe varied by consolidating and/or distributing the various databasecomponents 719 a-d. The IRFI may be configured to keep track of varioussettings, inputs, and parameters via database controllers.

The IRFI database may communicate to and/or with other components in acomponent collection, including itself, and/or facilities of the like.Most frequently, the IRFI database communicates with the IRFI component,other program components, and/or the like. The database may contain,retain, and provide information regarding other nodes and data.

The IRFIs

The IRFI component 735 is a stored program component that is executed bya CPU. In one embodiment, the IRFI component incorporates any and/or allcombinations of the aspects of the IRFI discussed in the previousfigures. As such, the IRFI affects accessing, obtaining and theprovision of information, services, transactions, and/or the like acrossvarious communications networks. The features and embodiments of theIRFI discussed herein increase network efficiency by reducing datatransfer requirements the use of more efficient data structures andmechanisms for their transfer and storage. As a consequence, more datamay be transferred in less time, and latencies with regard totransactions, are also reduced. In many cases, such reduction instorage, transfer time, bandwidth requirements, latencies, etc., willreduce the capacity and structural infrastructure requirements tosupport the IRFI's features and facilities, and in many cases reduce thecosts, energy consumption/requirements, and extend the life of IRFI'sunderlying infrastructure; this has the added benefit of making the IRFImore reliable. Similarly, many of the features and mechanisms aredesigned to be easier for users to use and access, thereby broadeningthe audience that may enjoy/employ and exploit the feature sets of theIRFI; such ease of use also helps to increase the reliability of theIRFI. In addition, the feature sets include heightened security as notedvia the Cryptographic components 720, 726, 728 and throughout, makingaccess to the features and data more reliable and secure.

The IRFI component may transform market data via IRFI components, suchas but not limited to a market data loading component 742, FederalReverse Board performance analysis component 743, Contract Constructioncomponent 744 (e.g., see 102-104 in FIG. 1, etc.), Transactionfacilitation component 745 (e.g., see 206 in FIG. 2, etc.), and/or thelike into a financial transaction 742 (e.g., 216-218 in FIG. 2, etc.),and/or the like and use of the IRFI.

The IRFI component enabling access of information between nodes may bedeveloped by employing standard development tools and languages such as,but not limited to: Apache components, Assembly, ActiveX, binaryexecutables, (ANSI) (Objective-) C (++), C# and/or .NET, databaseadapters, CGI scripts, Java, JavaScript, mapping tools, procedural andobject oriented development tools, PERL, PHP, Python, shell scripts, SQLcommands, web application server extensions, web developmentenvironments and libraries (e.g., Microsoft's ActiveX; Adobe AIR, FLEX &FLASH; AJAX; (D)HTML; Dojo, Java; JavaScript; jQuery(UI); MooTools;Prototype; script.aculo.us; Simple Object Access Protocol (SOAP);Representational State Transfer (REST); SWFObject; Yahoo! UserInterface; and/or the like), WebObjects, and/or the like. In oneembodiment, the IRFI server employs a cryptographic server to encryptand decrypt communications. The IRFI component may communicate to and/orwith other components in a component collection, including itself,and/or facilities of the like. Most frequently, the IRFI componentcommunicates with the IRFI database, operating systems, other programcomponents, and/or the like. The IRFI may contain, communicate,generate, obtain, and/or provide program component, system, user, and/ordata communications, requests, and/or responses.

An example pseudocode implemented by the IRFI component for transformingmarket data to configure data packets/data packages (e.g., contracts)with round units of risk size unit or forward exposure is providedbelow:

Sub set benchmark datapackages( ) For tenor = 2, 5, 7, 10 and 30 Formaturity = 3 month, 6 month, 1 year and 2 year For contract type =Treasury and Swaps set package as contract type, tenor, maturity returnpackage End Sub Sub compute round risk unit size(datapackage) getpackage compute dv01 at zero coupon and zero yield for each package setforward exposure for each package return forward exposure for eachpackage End Sub Sub Add contracts to platform( ) For all packages inbenchmark datapackages Set combination pairs End For For all combinationpairs Set hedgeratio as call compute round risk unit size(package1)/call comp compute round risk unit size (package2) End ForReturn contracts as combination pair package, hedge ratio End Sub CallAdd contracts to platform

Distributed IRFIs

The structure and/or operation of any of the IRFI node controllercomponents may be combined, consolidated, and/or distributed in anynumber of ways to facilitate development and/or deployment. Similarly,the component collection may be combined in any number of ways tofacilitate deployment and/or development. To accomplish this, one mayintegrate the components into a common code base or in a facility thatmay dynamically load the components on demand in an integrated fashion.

The component collection may be consolidated and/or distributed incountless variations through standard data processing and/or developmenttechniques. Multiple instances of any one of the program components inthe program component collection may be instantiated on a single node,and/or across numerous nodes to improve performance throughload-balancing and/or data-processing techniques. Furthermore, singleinstances may also be distributed across multiple controllers and/orstorage devices; e.g., databases. All program component instances andcontrollers working in concert may do so through standard dataprocessing communication techniques.

The configuration of the IRFI controller will depend on the context ofsystem deployment. Factors such as, but not limited to, the budget,capacity, location, and/or use of the underlying hardware resources mayaffect deployment requirements and configuration. Regardless of if theconfiguration results in more consolidated and/or integrated programcomponents, results in a more distributed series of program components,and/or results in some combination between a consolidated anddistributed configuration, data may be communicated, obtained, and/orprovided. Instances of components consolidated into a common code basefrom the program component collection may communicate, obtain, and/orprovide data. This may be accomplished through intra-application dataprocessing communication techniques such as, but not limited to: datareferencing (e.g., pointers), internal messaging, object instancevariable communication, shared memory space, variable passing, and/orthe like.

If component collection components are discrete, separate, and/orexternal to one another, then communicating, obtaining, and/or providingdata with and/or to other components may be accomplished throughinter-application data processing communication techniques such as, butnot limited to: Application Program Interfaces (API) informationpassage; (distributed) Component Object Model ((D)COM), (Distributed)Object Linking and Embedding ((D)OLE), and/or the like), Common ObjectRequest Broker Architecture (CORBA), Jini local and remote applicationprogram interfaces, JavaScript Object Notation (JSON), Remote MethodInvocation (RMI), SOAP, process pipes, shared files, and/or the like.Messages sent between discrete component components forinter-application communication or within memory spaces of a singularcomponent for intra-application communication may be facilitated throughthe creation and parsing of a grammar. A grammar may be developed byusing development tools such as lex, yacc, XML, and/or the like, whichallow for grammar generation and parsing capabilities, which in turn mayform the basis of communication messages within and between components.

For example, a grammar may be arranged to recognize the tokens of anHTTP post command, e.g.:

-   -   w3c -post http:// . . . Value1

where Value1 is discerned as being a parameter because “http://” is partof the grammar syntax, and what follows is considered part of the postvalue. Similarly, with such a grammar, a variable “Value1” may beinserted into an “http://” post command and then sent. The grammarsyntax itself may be presented as structured data that is interpretedand/or otherwise used to generate the parsing mechanism (e.g., a syntaxdescription text file as processed by lex, yacc, etc.). Also, once theparsing mechanism is generated and/or instantiated, it itself mayprocess and/or parse structured data such as, but not limited to:character (e.g., tab) delineated text, HTML, structured text streams,XML, and/or the like structured data. In another embodiment,inter-application data processing protocols themselves may haveintegrated and/or readily available parsers (e.g., JSON, SOAP, and/orlike parsers) that may be employed to parse (e.g., communications) data.Further, the parsing grammar may be used beyond message parsing, but mayalso be used to parse: databases, data collections, data stores,structured data, and/or the like. Again, the desired configuration willdepend upon the context, environment, and requirements of systemdeployment.

For example, in some implementations, the IRFI controller may beexecuting a PHP script implementing a Secure Sockets Layer (“SSL”)socket server via the information server, which listens to incomingcommunications on a server port to which a client may send data, e.g.,data encoded in JSON format. Upon identifying an incoming communication,the PHP script may read the incoming message from the client device,parse the received JSON-encoded text data to extract information fromthe JSON-encoded text data into PHP script variables, and store the data(e.g., client identifying information, etc.) and/or extractedinformation in a relational database accessible using the StructuredQuery Language (“SQL”). An exemplary listing, written substantially inthe form of PHP/SQL commands, to accept JSON-encoded input data from aclient device via a SSL connection, parse the data to extract variables,and store the data to a database, is provided below:

<?PHP header(′Content-Type: text/plain′); // set ip address and port tolisten to for incoming data $address = ‘192.168.0.100’; $port = 255; //create a server-side SSL socket, listen for/accept incomingcommunication $sock = socket_create(AF_INET, SOCK_STREAM, 0);socket_bind($sock, $address, $port) or die(‘Could not bind to address’);socket_listen($sock); $client = socket_accept($sock); // read input datafrom client device in 1024 byte blocks until end of message do { $input= “” $input = socket_read($client, 1024); $data .= $input; }while($input != “”); // parse data to extract variables $obj =json_decode($data, true); // store input data in a databasemysql_connect(″201.408.185.132″,$DBserver,$password); // access databaseserver mysql_select(″CLIENT_DB.SQL″); // select database to appendmysql_query(“INSERT INTO UserTable (transmission) VALUES ($data)”); //add data to UserTable table in a CLIENT databasemysql_close(″CLIENT_DB.SQL″); // close connection to database ?>

Also, the following resources may be used to provide example embodimentsregarding SOAP parser implementation:

http://www.xav.com/perl/site/lib/SOAP/Parser.htmlhttp://publib.boulder.ibm.com/infocenter/tivihelp/v2r1/index.jsp?topic=/com.ibm.IBMDI.doc/referenceguide295.htm

and other parser implementations:

http://publib.boulder.ibm.com/infocenter/tivihelp/v2r1/index.jsp?topic=/com.ibm.IBMDI.doc/referenceguide259.htm

all of which are hereby expressly incorporated by reference herein.

FIG. 8 is a schematic diagram illustrating data flows between IRFIcomponents and associated entities for an embodiment of the IRFI. In oneimplementation, the IRFI comprises one or more IRFI servers 801implementing IRFI functionality and communicatively coupled to one ormore IRFI databases 819, configured to store IRFI and associated data.The IRFI server 801 may also be coupled by a communication network 813to one or more market data sources and/or market data feeds 120 (e.g.,Bloomberg, Bloomberg's PhatPipe, Dun & Bradstreet, Reuters, etc.) torequest and/or receive financial data used in the calculation,determination, generation, management, settlement, maintenance, and/orassociated activities for the IRFI. A wide variety of different data maybe received and/or requested, including but not limited to stock,derivative, security and/or other market data, specific pricing,exposure, and/or the like data for individual securities and/orfinancial products, sets or portfolios of securities and/or financialproducts, and/or the like. The IRFI and/or associatedsystems/sub-systems and/or components/sub-components may process suchmarket information to determine, calculate, generate, facilitate, and/orexecute transactions. Such market information may also be utilized bythe IRFI to generate, manage, oversee, promote, distribute, sell, buy,write, market, settle, trade, and/or maintain financialproducts/instruments. As such, depending on the implementation, IRFIserver(s) may communicate with clients/users 833 a/833 b, publishingsystems, entities, organizations, and/or components 821, exchangeservers 803 (e.g., for exchange entities, securities marketplaces,regulators, etc.), financial institution servers 805 (e.g., for banks,brokerage houses, etc.), and/or a variety of markets 822.

FIG. 9 illustrates aspects of IRFI system architecture in block-diagramform and data flow between and among various IRFI system components foroperation of one embodiment of the IRFI. An IRFI system 900 may includea number of functional/operational modules and/or data stores configuredto carry out various IRFI features and/or functionality. A IRFIcontroller 901 may serve a central role in some embodiments of IRFIoperation, orchestrating the reception, determination, generation,transmission and/or distribution of data and/or instructions to, fromand between IRFI modules and/or allow further utilization and/oranalysis of data generated and/or collected during IRFI operation,and/or storage of data in one or more databases 919. The IRFI controller901 may be coupled to one or more operational modules configured toimplement various features associated with aspects of IRFI operation.

In one implementation, the IRFI controller 901 may be coupled to amarket data interface component 920 configured to query and/or receivemarket data from one or more market data sources 920 a and/or feeds 920b, and/or the like.

In one implementation, the IRFI controller 901 may be coupled to acalculator component 955 that processes received and/or stored data(e.g., received via the market data interface component 920 and/orstored in the database(s) 919) to determine/calculate one or more IRFIproducts.

In some implementations, the calculator component 955 can include anartificial neural network trained to calculate a exposure offsettingamount and/or a delivery amount for a contract. Such an artificialneural network can be, for example, a multi-layer perceptron feedforwardartificial neural network. The neural network can include three or morelayers, with at least one input layer, a hidden layer and an outputlayer. The input layer can receive one or more of a value representing abasis point for a contract, a number of contracts to cover a exposure inan auction, pricing data, settlement yield values, and/or delivery pricevalues. The hidden layer(s) can map the values received through theinput layer via one or more nonlinear functions to generate IRFI datapackages, included but not limited to a exposure offsetting amountand/or a delivery amount for a contract.

Alternatively, or additionally, the calculator component can include afuzzy logic inference system, for example, a Mamdani-type fuzzy logicsystem. The fuzzy logic system can include an inference engine logicallycoupled to a rule base with rules elicited from previous data samplesand/or experts' knowledge. The rules included in the rule base can beutilized to predict and/or calculate a exposure offsetting amount and/ora delivery amount for a contract. The fuzzy logic system can receive oneor more of a value representing a basis point for a contract, a numberof contracts to cover a exposure in an auction, pricing data, settlementyield values, and/or delivery price values. Thereafter, the system canfuzzyfy the inputs which may trigger, and fire, via the inferenceengine, one or more rules included in the rule-base. In someimplementations, the inference engine outputs one or more fuzzyfy valueswhich are defuzzified by a defuzzifier component to generate IRFI datapackages, included but not limited to a exposure offsetting amountand/or a delivery amount for a contract.

In one implementation, the IRFI controller 501 may be coupled to apublication interface component 921 configured to publish, transmit,communicate, distribute, etc., IRFI information 921 a (e.g., IRFI valuesdetermined by the calculator component 955).

In some implementations, the IRFI controller 901 may be coupled to aninstrument interface component 922 configured to distribute, receive,transmit, respond, generate, monitor, etc., information pertaining toIRFI instruments 922 a, for example, to effectuate and/or monitorinstrument transactions and/or the like (e.g., with an exchange server803).

In one implementation, the IRFI controller 901 may further be coupled toan oversight/administration interface component 933 configured tocommunicate and/or provide a user interface 933 a through which anadministrator can monitor and/or interact 933 b with IRFI systemparameters and settings, data management, access controls, and/or thelike.

In some implementations, the IRFI controller 901 may be coupled to anIRFI instrument generation component 965 and/or instrument managementcomponent 975 that process determined IRFI information and/or otherstored/received data (e.g., received via the instrument interfacecomponent 922 and/or stored in the database(s) 919) to generate IRFIinstruments and/or associated information and/or facilitate themanagement of the same. Depending on the implementation, the IRFI and/orassociated components may generate and/or manage a variety of IRFI-basedfinancial data packages/instruments.

According to some embodiments, the IRFI comprises or provides aninterest based instrument exchange apparatus that includes a processor,a memory storing processor-readable instructions, the processor-readableinstructions being executable by the processor to: instantiate a tradingplatform; receive a user selection of a contract includingcharacteristic parameters associated with the contract; receive auser-selected number of contracts to trade associated with a basis pointfor the contract; determine a exposure offsetting amount based on thebasis point for the contract and the user selected number of contractsto cover a exposure in an auction; receive pricing data from an auctionsystem, including a settlement yield and a delivery price; determine adelivery amount for the contract based on the pricing data; andfacilitate a transaction of the delivery amount. In some embodiments,the contract is traded based on units of forward exposure or DollarValue of a basis point without a fixed notional value. This keeps theactual quantity in line with the forward exposure during the life of theInterest Rate Based Financial Instrument (IRBFI). This holds the pricemovement associated with the change in yield constant, without the needto execute a complex yield-to-price calculation which is an iterativeprocess and takes multiple attempts. The IRFI thereby increases speedand efficiency in trading. By contrast, other products requirecalculations of Net Present Values, over an interpolated yield curve inorder to determine the price of a product and thereby it's change to achange in yield. The IRFI provides an elegant solution of, for example,100-yield to calculate a price while constantly keeping the forwardexposure in line with the notional value during the life of the IRBFI.

In some embodiments of the IRFI, the settlement of the transaction canbe or is determined by the corresponding Treasury Auction rather thanrequiring a separate calculation or methodology to derive the finalsettlement. This eliminates the ability of manipulation, while forcingconvergence to the underlying security and saves time. Again, with thesolution provided by the IRFI, there is no need for additional systemcalculations. In some implementations, active treasury futures aretraded after an auction and the coupon established, the IRFI orassociated IRBFI permits trading in future treasury Auctions in anelegant manner where the coupon has not as yet been established.

In some embodiments, the IRBFI is in round units of exposure,inter-relationships or spread trading (ST) is in logical fixed ratiosand is constant. By contrast, Current Tick values on available contractsthat are calculated off of the notional can create odd or awkwardincrements. The Fed Funds value for example is 41.67 since it is amonthly rate on a $5 mm. This creates difficult ratios when spreadversus Eurodollars or Treasury Bonds. According to some embodiments ofthe IRFI, the IRBFI exposure of a basis point movement is fixed, notvariable, making the ratios constant. Accordingly, then can be hardcoded, and no longer require complex calculations or valuations (and theassociated computation requirements. The IRFI thereby facilitates spreadtrading (ST) in yield or price elegant and straightforward (and again,reduces required computations and computer communications. Thus,algorithms are no longer required to make constant adjustments or befine tuned to transact. Current Treasury basket futures require modelingand analytics, yet since the actual deliverable is unknown, it can nottruly trade in yield. Therefore, yield spreads are not possible andweighted dollar price spreads are used to execute spread transactions.These weighted dollar spreads do not account for accruals and do notprovide historic references.

In one embodiment, the IRFI may provide a method of increasing processorefficiency for a multi-server trading system providing interest-basedinstrument exchange, the method comprising: instantiating a tradingplatform on a first server; receiving a user selection of a contractfrom a second server, the selection including characteristic parametersassociated with the contract; receiving a user-selected number ofcontracts to trade associated with a basis point for the contract fromthe second server; determining, via the first server, a exposureoffsetting amount based on the basis point for the contract and the userselected number of contracts to cover a exposure in an auction;receiving pricing data from a third server associated with an auctionsystem, the pricing data including a settlement yield and a deliveryprice; determining a delivery amount for the contract based on thereceived pricing data at the first server; and facilitating atransaction of the delivery amount. In some embodiments, the contract istraded based on units of forward exposure or Dollar Value of a basispoint without a fixed notional value. This keeps the actual quantity inline with the forward exposure during the life of the Interest RateBased Financial Instrument (IRBFI). This holds the price movementassociated with the change in yield constant, without the need toexecute a complex yield-to-price calculation which is an iterativeprocess and takes multiple attempts. The IRFI thereby increases speedand efficiency in trading. By contrast, other products requirecalculations of Net Present Values, over an interpolated yield curve inorder to determine the price of a product and thereby it's change to achange in yield. The IRFI provides an elegant solution of, for example,100-yield to calculate a price while constantly keeping the forwardexposure in line with the notional value during the life of the IRBFI.

In some embodiments, the IRFI allows end users to transact and offsetusing logical benchmarks. The IRFI provides an instrument that isnon-complex to trade and straightforward to transact. The IRFI canprovide an instrument that concentrates liquidity even out into thefuture and where the exposure is always known and transparency isinherent.

In some embodiments, the IRFI provides treasury interest rate exposurefutures that allow for trades in yield. In some implementations, priceis simply 100-yield and each basis point is a round unit of “Exposure”or DV01. In some embodiments of the IRFI, the treasury interest rateexposure futures trades and settles over standard exchange platformsusing existing infrastructure and permits trading 3 mo, 6 mo, 9 mo andeven years out into the future, depending on the implementation. Thetreasury interest rate exposure futures can settle to Quarterly TreasuryAuctions.

An example of treasury interest rate exposure futures according to oneembodiment of the IRFI follows: (1) 10 year treasury interest rateexposure futures are long dated listed futures or standardized forwardcontracts on the U.S. Treasury quarterly 10 year Refunding Auctions. (2)Unlike the cash market, treasury interest rate exposure futures cantrade years out into the future. (3) Quoting is in yield. The price issimply (100-yield). (4) Each basis point will equal a round fixed dollarvalue of $100. (5) Offsetting $100,000.00 of exposure per basis pointwould simply require 1,000 contracts. (5) The settlement yield anddelivery price is determined by the corresponding Treasury Auction. (6)The notional delivery amount in millions is calculated as follows:

(# of Contracts*$100)/Dollar Value of a Basis Point per million of thenew WI bond.

The IRFI can net trades to a single position, thereby providingefficiencies not available to OTC swaps and MAC swaps.

According to some embodiments of the IRFI, interest rate exposurefutures provide the ability to trade benchmark rates out into thefuture, on multiple curves, as shown in the chart in FIG. 10.

The following is an example use case for the IRFI: An investor believes10 year rates will drift higher into the new auction supply. He or shedecides to exposure $100,000 per basis point that rates will movehigher. The investor sells 1,000 contracts of the 10 year treasuryinterest rate exposure futures at 3.00% at a price of 97.00. 1000contracts*$100=$100,000 in Exposure per basis point. That day thetreasury interest rate exposure futures settles at 3.01%, newprice=96.99, for a profit of 1 basis point on a mark-to-market. On Day2, the investor decides to cover his or her short in the underlying BondAuction. Since rates are close to 3%, he or she can calculates the DV01to be 833 per million. Taking his $100,000 in exposure, he or shedivides it by the DV01 per million of the new WI and determines he orshe needs 120 million in bonds to bid. The Auction comes at 3.06%. Theinvestor earns an additional $500,000 (5 basis points*1,000contracts*$100) as his or her short position settles there. Theinvestor's short futures position produces an obligation of a 120 mmsale at 3.06% on the WI, which is neatly netted versus his purchase of120 mm at 3.06% in the Auction.

The following is an example use case for the IRFI illustrating an optiontrade: On Day 1, an investor believes the FED is behind the curve anddecides rates will move higher, only this time he wants to limit hisexposure to $100,000. He buys 500 put option contracts of the 10 yeartreasury interest rate exposure futures at 3.25% (a price of 96.75) witha 6 month expiration for a premium of 2 basis points. His cost is 500contracts*2 basis points*$100 for a total premium of $100,000. Hisbreakeven is 96.73. On Day 2, the market sells off sharply and theoption price moves from 2 basis points to 4. The investor has amark-to-market profit of $100,000. The investor can either hold hisposition into option expiration and become short 500 futures at 97.75,or he can realize the profit by closing out the transaction at 4 basispoints. The investor was able to make a option transaction on a 10 yearrate, 6 months forward, in an extremely elegant and efficient format. Ascan be seen, trading systems implementing the IRFI can benefit from thesimplified calculations and reduced bandwidth required.

In order to address various issues and advance the art, the entirety ofthis application (including the Cover Page, Title, Headings, Background,Summary, Brief Description of the Drawings, Detailed Description,Claims, Abstract, Figures, Appendices, and otherwise) shows, by way ofillustration, various embodiments in which the claimed innovations maybe practiced. The advantages and features of the application are of arepresentative sample of embodiments only, and are not exhaustive and/orexclusive. They are presented to assist in understanding and teach theclaimed principles.

It should be understood that they are not representative of all claimedinnovations. As such, certain aspects of the disclosure have not beendiscussed herein. That alternate embodiments may not have been presentedfor a specific portion of the innovations or that further undescribedalternate embodiments may be available for a portion is not to beconsidered a disclaimer of those alternate embodiments. It will beappreciated that many of those undescribed embodiments incorporate thesame principles of the innovations and others are equivalent. Thus, itis to be understood that other embodiments may be utilized andfunctional, logical, operational, organizational, structural and/ortopological modifications may be made without departing from the scopeand/or spirit of the disclosure. As such, all examples and/orembodiments are deemed to be non-limiting throughout this disclosure.

Also, no inference should be drawn regarding those embodiments discussedherein relative to those not discussed herein other than it is as suchfor purposes of reducing space and repetition. For instance, it is to beunderstood that the logical and/or topological structure of anycombination of any program components (a component collection), othercomponents and/or any present feature sets as described in the figuresand/or throughout are not limited to a fixed operating order and/orarrangement, but rather, any disclosed order is exemplary and allequivalents, regardless of order, are contemplated by the disclosure.

Various inventive concepts may be embodied as one or more methods, ofwhich at least one example has been provided. The acts performed as partof the method may be ordered in any suitable way. Accordingly,embodiments may be constructed in which acts are performed in an orderdifferent than illustrated, which may include performing some actssimultaneously, even though shown as sequential acts in illustrativeembodiments. Put differently, it is to be understood that such featuresmay not necessarily be limited to a particular order of execution, butrather, any number of threads, processes, services, servers, and/or thelike that may execute serially, asynchronously, concurrently, inparallel, simultaneously, synchronously, and/or the like in a mannerconsistent with the disclosure. As such, some of these features may bemutually contradictory, in that they cannot be simultaneously present ina single embodiment. Similarly, some features are applicable to oneaspect of the innovations, and inapplicable to others.

In addition, the disclosure may include other innovations not presentlyclaimed. Applicant reserves all rights in those unclaimed innovationsincluding the right to claim such innovations, file additionalapplications, continuations, continuations-in-part, divisionals, and/orthe like thereof. As such, it should be understood that advantages,embodiments, examples, functional, features, logical, operational,organizational, structural, topological, and/or other aspects of thedisclosure are not to be considered limitations on the disclosure asdefined by the claims or limitations on equivalents to the claims.Depending on the particular desires and/or characteristics of anindividual and/or enterprise user, database configuration and/orrelational model, data type, data transmission and/or network framework,syntax structure, and/or the like, various embodiments of the technologydisclosed herein may be implemented in a manner that enables a greatdeal of flexibility and customization as described herein.

All definitions, as defined and used herein, should be understood tocontrol over dictionary definitions, definitions in documentsincorporated by reference, and/or ordinary meanings of the definedterms.

The indefinite articles “a” and “an,” as used herein in thespecification and in the claims, unless clearly indicated to thecontrary, should be understood to mean “at least one.”

The phrase “and/or,” as used herein in the specification and in theclaims, should be understood to mean “either or both” of the elements soconjoined, i.e., elements that are conjunctively present in some casesand disjunctively present in other cases. Multiple elements listed with“and/or” should be construed in the same fashion, i.e., “one or more” ofthe elements so conjoined. Other elements may optionally be presentother than the elements specifically identified by the “and/or” clause,whether related or unrelated to those elements specifically identified.Thus, as a non-limiting example, a reference to “A and/or B”, when usedin conjunction with open-ended language such as “comprising” can refer,in one embodiment, to A only (optionally including elements other thanB); in another embodiment, to B only (optionally including elementsother than A); in yet another embodiment, to both A and B (optionallyincluding other elements); etc.

As used herein in the specification and in the claims, “or” should beunderstood to have the same meaning as “and/or” as defined above. Forexample, when separating items in a list, “or” or “and/or” shall beinterpreted as being inclusive, i.e., the inclusion of at least one, butalso including more than one, of a number or list of elements, and,optionally, additional unlisted items. Only terms clearly indicated tothe contrary, such as “only one of” or “exactly one of,” or, when usedin the claims, “consisting of,” will refer to the inclusion of exactlyone element of a number or list of elements. In general, the term “or”as used herein shall only be interpreted as indicating exclusivealternatives (i.e. “one or the other but not both”) when preceded byterms of exclusivity, such as “either,” “one of,” “only one of,” or“exactly one of.” “Consisting essentially of,” when used in the claims,shall have its ordinary meaning as used in the field of patent law.

As used herein in the specification and in the claims, the phrase “atleast one,” in reference to a list of one or more elements, should beunderstood to mean at least one element selected from any one or more ofthe elements in the list of elements, but not necessarily including atleast one of each and every element specifically listed within the listof elements and not excluding any combinations of elements in the listof elements. This definition also allows that elements may optionally bepresent other than the elements specifically identified within the listof elements to which the phrase “at least one” refers, whether relatedor unrelated to those elements specifically identified. Thus, as anon-limiting example, “at least one of A and B” (or, equivalently, “atleast one of A or B,” or, equivalently “at least one of A and/or B”) canrefer, in one embodiment, to at least one, optionally including morethan one, A, with no B present (and optionally including elements otherthan B); in another embodiment, to at least one, optionally includingmore than one, B, with no A present (and optionally including elementsother than A); in yet another embodiment, to at least one, optionallyincluding more than one, A, and at least one, optionally including morethan one, B (and optionally including other elements); etc.

In the claims, as well as in the specification above, all transitionalphrases such as “comprising,” “including,” “carrying,” “having,”“containing,” “involving,” “holding,” “composed of,” and the like are tobe understood to be open-ended, i.e., to mean including but not limitedto. Only the transitional phrases “consisting of” and “consistingessentially of” shall be closed or semi-closed transitional phrases,respectively, as set forth in the United States Patent Office Manual ofPatent Examining Procedures, Section 2111.03.

All examples and/or embodiments are deemed to be non-limiting throughoutthis disclosure. Also, no inference should be drawn regarding thoseembodiments discussed herein relative to those not discussed hereinother than it is as such for purposes of reducing space and repetition.For instance, it is to be understood that the logical and/or topologicalstructure of any combination of any data flow sequence(s), programcomponents (a component collection), other components and/or any presentfeature sets as described in the figures and/or throughout are notlimited to a fixed operating order and/or arrangement, but rather, anydisclosed order is exemplary and all equivalents, regardless of order,are contemplated by the disclosure. Furthermore, it is to be understoodthat such features are not limited to serial execution, but rather, anynumber of threads, processes, processors, services, servers, and/or thelike that may execute asynchronously, concurrently, in parallel,simultaneously, synchronously, and/or the like are also contemplated bythe disclosure. As such, some of these features may be mutuallycontradictory, in that they cannot be simultaneously present in a singleembodiment. Similarly, some features are applicable to one aspect of theinnovations, and inapplicable to others. In addition, the disclosureincludes other innovations not presently claimed. As such, it should beunderstood that advantages, embodiments, examples, functional, features,logical, operational, organizational, structural, topological, and/orother aspects of the disclosure are not to be considered limitations onthe disclosure as defined by the claims or limitations on equivalents tothe claims. It is to be understood that, depending on the particularneeds and/or characteristics of a IRFI individual and/or enterpriseuser, database configuration and/or relational model, data type, datatransmission and/or network framework, syntax structure, and/or thelike, various embodiments of the IRFI may be implemented that allow agreat deal of flexibility and customization. For example, aspects of theIRFI may be adapted for data network bandwidth management. While variousembodiments and discussions of the IRFI have been directed to financialinstrument and derivative construction, trading, and management,however, it is to be understood that the embodiments described hereinmay be readily configured and/or customized for a wide variety of otherapplications and/or implementations.

1-19. (canceled)
 20. A computer-implemented method, comprising:receiving, from a communication device of a seller during a first timeperiod, a data package including an indication to sell a first quantityof a contract on a security at a first yield, the contract not having afixed notional value; receiving, from a communication device of a buyerduring the first time period, a data package including an indication tobuy a second quantity of the contract on the security at the firstyield; matching the seller to the buyer such that the buyer purchasedthe second quantity of the contract from the seller at the first yield;receiving, during a second time period after the first time period anindication of a second yield for the security set by a market, thesecond yield being higher than the first yield; determining, without aniterative yield-to-price calculation, a variation margin for the buyerand the seller based on the second yield; and transferring, from thebuyer to the seller, funds equal to the variation margin.
 21. Thecomputer-implemented method of claim 20, further comprising: receiving,from the buyer, an initial margin associated with the indication to buythe second quantity of the contract; receiving, during the second timeperiod and from the buyer, a data package including an indication toclose the buyer's position; and returning, to the buyer, the initialmargin less the variation margin based on the indication to close theseller's position.
 22. The computer-implemented method of claim 20,wherein the buyer is a first buyer, the method further comprising:receiving, during the second time period and from the first buyer, adata package including an indication to close the first buyer'sposition; and transferring an obligation associated with the secondquantity of the contracts from the first buyer to a second buyer. 23.The computer-implemented method of claim 20, wherein the buyer is afirst buyer, the method further comprising: receiving, during the secondtime period and from the first buyer, a data package including anindication to close the first buyer's position; transferring anobligation associated with the second quantity of the contracts from thefirst buyer to a second buyer; receiving, during a third time periodafter the second time period, an indication of a settlement yield of thesecurity; and causing a transaction on the security to be executedduring the third time period based on the second quantity of thecontract such that the second buyer buys a quantity of the security andthe seller sells the quantity of the security.
 24. Thecomputer-implemented method of claim 20, wherein the buyer is a firstbuyer and the variation margin is a first variation margin, the methodfurther comprising: receiving, during the second time period and fromthe first buyer, a data package including an indication to close thefirst buyer's position; transferring an obligation associated with thesecond quantity of the contracts from the first buyer to the secondbuyer; receiving during a third time period after the second time periodan indication of a third yield for the security set by the market, thethird yield being higher than the second yield; determining during thethird time period and without an iterative yield-to-price calculation, asecond variation margin for the second buyer and the seller; andtransferring, from the second buyer to the seller, funds equal to thesecond variation margin.
 25. The computer-implemented method of claim20, further comprising: receiving, during a third time period after thesecond time period, an indication of a settlement yield of the security;determining, without iterative price-to-yield calculations, a marginbetween the first yield and the settlement yield; and executing atransaction on the security, during the third time period, based on thesecond quantity of the contract such that the seller sells a quantity ofthe security and the buyer buys the quantity of the security.
 26. Thecomputer-implemented method of claim 20, further comprising: receiving,during a third time period after the second time period, an indicationof a settlement yield of the security; determining, without iterativeprice-to-yield calculations, a settlement margin between the first yieldand the settlement yield; and executing a transaction on the security,during the third time period, equal to a value based on the secondquantity of the contract such that the seller sells a quantity of thesecurity at a price of par with the settlement yield less the settlementmargin.
 27. The computer-implemented method of claim 20, wherein thecontract obligates the buyer to buy the security and the seller to sellthe security.
 28. A computer-implemented method, comprising: defining aplurality of contracts based on benchmark tenors and maturity of anunderlying security, each contract from the plurality of contractspriced in yield; receiving, from a user device during a first timeperiod, a request to hedge against forward risk of changes in yield ofthe underlying security; selecting a quantity of contracts from theplurality of contracts based on the request, the quantity of contractsselected to hedge against forward risk of changes in yield and notspecifying a fixed quantity of the underlying security such that thequantity of contracts do not embed hidden convexity exposure; receiving,during a second time period after the first time period, an indicationof a settlement yield of the underlying security; determining, withoutiterative price-to-yield calculations, a margin between the yield duringthe first time period and the settlement yield; and executing atransaction on a quantity of the underlying security based on thequantity of contracts without a separate calculation, the marginsettling into the transaction.
 29. The computer-implemented method ofclaim 28, wherein a cost associated with executing the transaction isreduced by the margin.
 30. The computer-implemented method of claim 28,wherein the transaction is executed during the second time period. 31.The computer-implemented method of claim 28, wherein each contract fromthe plurality of contracts contains an obligation to buy the underlyingsecurity during the second time period.
 32. The computer-implementedmethod of claim 28, further comprising: receiving, during a third timeperiod between the first time period and the second time period, anindication of a market yield; and transferring funds to the user basedon a difference between a yield during the first time period and themarket yield during the third time period.
 33. The computer-implementedmethod of claim 28, wherein an exposure of each contract from theplurality of contracts is constant from the first time period to thesecond time period and independent of a market yield of the underlyingsecurity.
 34. The computer-implemented method of claim 28, wherein eachcontract from the plurality of contracts trades in round units offorward exposure.
 35. The computer-implemented method of claim 28,further comprising: matching the user to a seller, each contract fromthe plurality of contracts obligating the seller to sell the underlyingsecurity to the user during the second time period.
 36. Thecomputer-implemented method of claim 28, wherein the seller is a firstseller, the method further comprising: matching the user to the firstseller, each contract from the plurality of contracts obligating thefirst seller to sell the underlying security to the buyer during thesecond time period; receiving, from the first seller during a third timeperiod between the first time period and the second time period, a datapackage including an indication to close the first seller's position;and transferring an obligation to sell the underlying security to theuser from the first seller to the second seller.
 37. Thecomputer-implemented method of claim 28, wherein the seller is a firstseller, the method further comprising: matching the user to the firstseller, each contract from the plurality of contracts obligating thefirst seller to sell the underlying security to the buyer during thesecond time period; receiving, from the first seller during a third timeperiod between the first time period and the second time period, a datapackage including an indication to close the first seller's position;transferring an obligation to sell the underlying security to the userfrom the first seller to the second seller; and transferring fundsbetween the user and the first seller during the third time period basedon a difference between the yield during the first time period and ayield during the third time period.